StAMPL: A Filtration-Oriented Modeling Tool for Stochastic Programming
نویسندگان
چکیده
Every multistage stochastic programming problem with recourse (MSPR) contains a filtration process. In this research, we 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 with the mathematical notation commonly associated with stochastic programming. StAMPL is a modeling tool specifically designed for the MSPR, which implements the notation we created and converts models written using that syntax to instances that can be solved using standard mechanisms. With 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 modeling language.
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