作者
Jean-Paul Watson, David L Woodruff, William E Hart
发表日期
2012/6
期刊
Mathematical Programming Computation
卷号
4
页码范围
109-149
出版商
Springer-Verlag
简介
Although stochastic programming is a powerful tool for modeling decision-making under uncertainty, various impediments have historically prevented its wide-spread use. One factor involves the ability of non-specialists to easily express stochastic programming problems as extensions of their deterministic counterparts, which are typically formulated first. A second factor relates to the difficulty of solving stochastic programming models, particularly in the mixed-integer, non-linear, and/or multi-stage cases. Intricate, configurable, and parallel decomposition strategies are frequently required to achieve tractable run-times on large-scale problems. We simultaneously address both of these factors in our PySP software package, which is part of the Coopr open-source Python repository for optimization; the latter is distributed as part of IBM’s COIN-OR repository. To formulate a stochastic program in PySP, the user …
引用总数
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学术搜索中的文章
JP Watson, DL Woodruff, WE Hart - Mathematical Programming Computation, 2012