Applications of Stochastic Programming (MPS-SIAM Series on by Stein W. Wallace, William T. Ziemba

By Stein W. Wallace, William T. Ziemba

Study on algorithms and functions of stochastic programming, the research of approaches for selection making below uncertainty over the years, has been very energetic lately and merits to be extra widely recognized. this is often the 1st ebook dedicated to the complete scale of purposes of stochastic programming and in addition the 1st to supply entry to publicly on hand algorithmic structures. The 32 contributed papers during this quantity are written through major stochastic programming experts and mirror the excessive point of job in recent times in examine on algorithms and functions. The publication introduces the facility of stochastic programming to a much broader viewers and demonstrates the appliance components the place this strategy is more suitable to different modeling ways. purposes of Stochastic Programming contains elements. the 1st half provides papers describing publicly on hand stochastic programming structures which are at the moment operational. the entire codes were largely validated and built and may attract researchers and builders who have the desire to make versions with no large programming and different implementation bills. The codes are a synopsis of the easiest structures on hand, with the requirement that they be undemanding, able to move, and publicly on hand. the second one a part of the booklet is a various selection of software papers in components corresponding to creation, provide chain and scheduling, gaming, environmental and toxins regulate, monetary modeling, telecommunications, and electrical energy. It comprises the main whole selection of genuine purposes utilizing stochastic programming to be had within the literature. The papers exhibit how best researchers decide to deal with randomness while making making plans types, with an emphasis on modeling, info, and resolution ways. Contents Preface: half I: Stochastic Programming Codes; bankruptcy 1: Stochastic Programming computing device Implementations, Horand I. Gassmann, SteinW.Wallace, and William T. Ziemba; bankruptcy 2: The SMPS structure for Stochastic Linear courses, Horand I. Gassmann; bankruptcy three: The IBM Stochastic Programming method, Alan J. King, Stephen E.Wright, Gyana R. Parija, and Robert Entriken; bankruptcy four: SQG: software program for fixing Stochastic Programming issues of Stochastic Quasi-Gradient equipment, Alexei A. Gaivoronski; bankruptcy five: Computational Grids for Stochastic Programming, Jeff Linderoth and Stephen J.Wright; bankruptcy 6: development and fixing Stochastic Linear Programming versions with SLP-IOR, Peter Kall and J?nos Mayer; bankruptcy 7: Stochastic Programming from Modeling Languages, Emmanuel Fragni?re and Jacek Gondzio; bankruptcy eight: A Stochastic Programming built-in setting (SPInE), P. Valente, G. Mitra, and C. A. Poojari; bankruptcy nine: Stochastic Modelling and Optimization utilizing Stochastics™ , M. A. H. ! Dempster, J. E. Scott, and G.W. P. Thompson; bankruptcy 10: An built-in Modelling setting for Stochastic Programming, Horand I. Gassmann and David M. homosexual; half II: Stochastic Programming purposes; bankruptcy eleven: advent to Stochastic Programming functions Horand I. Gassmann, Sandra L. Schwartz, SteinW.Wallace, and William T. Ziemba bankruptcy 12: Fleet administration, Warren B. Powell and Huseyin Topaloglu; bankruptcy thirteen: Modeling creation making plans and Scheduling below Uncertainty, A. Alonso-Ayuso, L. F. Escudero, and M. T. Ortu?o; bankruptcy 14: A provide Chain Optimization version for the Norwegian Meat Cooperative, A. Tomasgard and E. H?eg; bankruptcy 15: soften keep an eye on: cost Optimization through Stochastic Programming, Jitka Dupa?cov? and Pavel Popela; bankruptcy sixteen: A Stochastic Programming version for community source usage within the Presence of Multiclass call for Uncertainty, Julia L. Higle and Suvrajeet Sen; bankruptcy 17: Stochastic Optimization and Yacht Racing, A. B. Philpott; bankruptcy 18: Stochastic Approximation, Momentum, and Nash Play, H. Berglann and S. D. Fl?m; bankruptcy 19: Stochastic Optimization for Lake Eutrophication administration, Alan J. King, L?szl? Somly?dy, and Roger J

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Extra resources for Applications of Stochastic Programming (MPS-SIAM Series on Optimization)

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It is sometimes useful to be able to debug stochastic programming data input logic by examining the SMPS files or even the MPS files for the deter- 30 Chapter 3. The IBM Stochastic Programming System ministic equivalent LP. OSLSE includes functions ekks_outMatrixSMPS to write out the data in SMPS scenarios format and ekks_outMatrixMPS to write out the MPS file. Note added in proof. The product family OSL, including OSLSE, is no longer available from IBM as of March, 2004. org. We are in the process of integrating stochastic programming functionality in the COIN optimization framework, but we were not able to provide details in time for this publication.

Such estimates are obtained by generating observations or scenarios wi during the solution process. These estimates are used instead of exact values in the iterative algorithms that have their roots in linear or nonlinear programming. SQG methods belong to this class; another example is the stochastic decomposition of [20]. 4) because it should be solved several hundred times during the optimization process. 4) becomes a quadratic programming problem for which fast efficient algorithms exist. 3) which employ penalty functions, duality approaches, or linear approximations.

The product family OSL, including OSLSE, is no longer available from IBM as of March, 2004. org. We are in the process of integrating stochastic programming functionality in the COIN optimization framework, but we were not able to provide details in time for this publication. A Sample input with internal arrays This section illustrates the use of internal arrays to pass problem data on the KandW example, which is a modified version of a production planning problem from the text [10]. A refinery can blend two raw materials into two different products.

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