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)
- AMPL:
- http://www.ampl.com/NEW/FUTURE/stoch.html
- http://www.ece.northwestern.edu/OTC/workshop2007/slides/gay_david_huatulco.pdf
- stAmpl: http://joc.journal.informs.org/cgi/content/short/21/2/242
- I believe this is not available in the standard AMPL distribution
- SPInE:
- http://www.optirisk-systems.com/products_spine.asp
- http://www.optirisk-systems.com/manuals/SpineAmplManual.pdf
- 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)
No comments:
Post a Comment