Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/745
Title: Software tools for stochastic programming: A Stochastic Programming Integrated Environment (SPInE)
Authors: Valente, P
Mitra, G
Poojari, CA
Kyriakis, T
Issue Date: 2001
Publisher: The Centre for the Analysis of Risk and Optimisation Modelling Applications (CARISMA), Brunel University
Citation: The Centre for the Analysis of Risk and Optimisation Modelling Applications (CARISMA), Brunel University; Technical Reports, TR/10/2001, Aug 2001
Abstract: SP models combine the paradigm of dynamic linear programming with modelling of random parameters, providing optimal decisions which hedge against future uncertainties. Advances in hardware as well as software techniques and solution methods have made SP a viable optimisation tool. We identify a growing need for modelling systems which support the creation and investigation of SP problems. Our SPInE system integrates a number of components which include a flexible modelling tool (based on stochastic extensions of the algebraic modelling languages AMPL and MPL), stochastic solvers, as well as special purpose scenario generators and database tools. We introduce an asset/liability management model and illustrate how SPInE can be used to create and process this model as a multistage SP application.
URI: http://carisma.brunel.ac.uk/papers/TR10_01.pdf
http://bura.brunel.ac.uk/handle/2438/745
Appears in Collections:Dept of Mathematics Research Papers
Mathematical Sciences

Files in This Item:
File Description SizeFormat 
TR10_01.pdf677.82 kBAdobe PDFView/Open


Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.