The next version of Microsoft Solver Foundation will contain facilities for Stochastic Programming: http://blogs.msdn.com/natbr/archive/2009/09/03/solver-foundation-2-0-preview-simulation-and-stochastic-programming.aspx.
What do other modeling systems have?
- GAMS: no significant language support (there are a few special variable suffices for DECIS; this solver can handle some very large problems due to its use of Cplex LP engine and its Importance Sampling strategy)
- stAmpl: http://joc.journal.informs.org/cgi/content/short/21/2/242
- I believe this is not available in the standard AMPL distribution
- I have heard from some users they like this approach (but some large problems we could solve with DECIS were too large to solve for the solvers in this system)