A C++ Modelling Environment for Stochastic Programming

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


This Research Report is available. This report has been submitted for publication outside of IBM and will probably be copyrighted if accepted for publication. It has been issued as a Research Report for early dissemination of its contents. In view of the transfer of copyright to the outside publisher, its distribution outside of IBM prior to publication should be limited to peer communications and specific requests. After outside publication, requests should be filled only by reprints or legally obtained copies of the article (e.g., payment of royalties). I have read and understand this notice and am a member of the scientific community outside or inside of IBM seeking a single copy only.


Questions about this service can be mailed to reports@us.ibm.com .