|Title / Titel||SLP-IOR: Ongoing Development of a Model Management System for Stochastic Linear Programming|
|Abstract (PDF, 14 KB)|
|Summary / Zusammenfassung||SLP-IOR is a model management system for stochastic linear programming (SLP). The idea is to provide support for the entire modeling life cycle including model formulation, selecting an appropriate solver, solving the model instance and analyzing the model instance and the results. The main design principle is to keep a close connection to the general algebraic modeling system GAMS. The program system has been designed and implemented in an object oriented style. Besides the modeling features it is important to connect a sufficiently rich solver library to the system. The general purpose LP solvers available with GAMS are automatically connected also to SLP-IOR. We have connected 19 further solvers to the system. Among these 14 solvers are designed to solve stochastic linear programming problems. 8 of them have been implemented and (with one exception) have also been developed in our Institute. The remaining 6 SLP solvers have been provided to us by colleagues working in the field. The present scope of SLP-IOR consists of the following stochastic linear programming model types: two stage fixed recourse models including the special case of simple recourse models (with continuous as well as with integer recourse), multiple simple recourse models, multistage recourse models, models with joint- and with separate probabilistic constraints, integrated chance constraints (separate and joint), and models with CVaR constraints and objective.
Currently we develop extensions including stochastic programs with objectives consisting of several CVaR components as penalty terms. We also plan to include various DEA models extended by allowing for stochastic entries.
The research and development concerning SLP-IOR is an ongoing activity. The system runs under WINDOWS.
|Publications / Publikationen||P. Kall and J. Mayer: "SLP-IOR: An interactive model management system for stochastic linear programs", Mathematical Programming 75 (1996) 221-240.P. Kall and J. Mayer: "Modeling support for multistage recourse problems", in K. Marti, Y. Ermoliev, and G. Pflug, editors, Dynamic stochastic optimization, Lecture Notes in Economics and Math. Systems 532, pp. 21–41. Springer Verlag, 2004.P. Kall and J. Mayer: "Building and solving stochastic linear programming models with SLP-IOR", in S.W. Wallace and W.T. Ziemba, editors, Applications of Stochastic Programming, MPS-SIAM Book Series on Optimization 5, pp. 79-93, 2005.P. Kall and J. Mayer: "Stochastic Linear Programming. Models, Theory, and Computation", Second Edition, International Series in Operations Research 156, Springer Verlag, 2010.Weitere Informationen|
|Project leadership and contacts /
Projektleitung und Kontakte
|Funding source(s) /
|No project-specific funding
|Duration of Project / Projektdauer||Oct 1992 to Dec 2011|