Stochastic programming presents many challenges to modelling environments. One major challenge is to support the efficient processing of model artifacts as stochastic parameters change and scenarios are generated. In this paper we present an example that combines COIN-OR packages FLOPC++ and SMI to produce a C++ program, which generates and solves the extensive form of a stochastic program known as the deterministic equivalent. Quick updating of scenario data is enabled by writing a specialized subroutine that calculates the modified data. We also discuss what stochastic extensions would be needed to implement this capability using modelling abstractions.
By: Michal Kaut; Alan King; Tim Helge Hultberg
Published in: RC24662 in 2008
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