StAMPL: A filtration-oriented modeling tool for multistage stochastic recourse problems

Robert H Fourer*, Leo Lopes

*Corresponding author for this work

Research output: Contribution to journalArticle

9 Scopus citations

Abstract

Every multistage stochastic programming problem with recourse (MSPR) contains a filtration process. In this research, we have created a notation that makes the filtration process the central syntactic construction of the MSPR. As a result, we achieve lower redundancy and higher modularity than is possible using the mathematical notation commonly associated with stochastic programming. To experiment with our ideas, we have created StAMPL, a specialized modeling tool for the MSPR that is based on the AMPL modeling language. StAMPL implements our notation and converts models written in our notation to instances that can be solved using standard methods. Using this approach, we are able to represent models in a very clean, simple, and scalable format while maintaining almost all the power of the AMPL language.

Original languageEnglish (US)
Pages (from-to)242-256
Number of pages15
JournalINFORMS Journal on Computing
Volume21
Issue number2
DOIs
StatePublished - Mar 1 2009

Keywords

  • Computers
  • Decision support systems
  • Information systems
  • Operation
  • Philosophy of modeling
  • Programming
  • Stochastic
  • System design

ASJC Scopus subject areas

  • Software
  • Information Systems
  • Computer Science Applications
  • Management Science and Operations Research

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