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Scenario formulation in an algebraic modelling language

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Abstract

Algebraic modelling languages have simplified management of many types of large linear programs but have not specifically supported stochastic modelling. This paper considers modelling language support for multistage stochastic linear recourse problems with finite distributions. We describe basic language requirements for formulation of finite event trees in algebraic modelling languages and show representative problems in AMPL using three commonly used scenario types.

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Authors and Affiliations

  1. School of Business Administration, Dalhousie University, B3H 1Z5, Halifax, Nova Scotia, Canada

    H. I. Gassmann & A. M. Ireland

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  1. H. I. Gassmann
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  2. A. M. Ireland
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Gassmann, H.I., Ireland, A.M. Scenario formulation in an algebraic modelling language. Ann Oper Res 59, 45–75 (1995). https://doi.org/10.1007/BF02031743

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