The IBM Stochastic Programming System

IBM’s stochastic programming product, the Optimization Solutions and Library Stochastic Extensions (OSLSE), was developed at IBM Research’s Thomas J. Watson Research Center in Yorktown Heights, New York, in the period 1990-2002. It is a library of subroutines that may be linked with user-written C/C++ programs to model and solve multi-period stochastic linear programs with recourse. Features include: quadratic objectives, integer variables, empirical tree generation, and a flexible nested decomposition solver. A parallel version of the nested decomposition solver is also available.

The currently available version (version 3) has been extensively revised from its initial 1998 release. It now uses the OSL version 3 C/C++ infrastructure
for problem data management and solver utilities. OSLSE may be freely downloaded with a 60-day try-and-buy license from the OSL website Free academic licenses are available for students and academic researchers.

By: Alan J. King, Stephen E. Wright, Gyana R. Parija, Robert Entriken

Published in: RC22664 in 2002


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