메뉴 건너뛰기




Volumn 21, Issue 2, 2009, Pages 242-256

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

Author keywords

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

Indexed keywords


EID: 67649992777     PISSN: 10919856     EISSN: 15265528     Source Type: Journal    
DOI: 10.1287/ijoc.1080.0289     Document Type: Article
Times cited : (10)

References (39)
  • 1
    • 4544226577 scopus 로고    scopus 로고
    • On a new collection of stochastic linear programming test problems
    • Ariyawansa, K. A., A. J. Felt. 2004. On a new collection of stochastic linear programming test problems. INFORMS J. Comput. 16(3) 291-299.
    • (2004) INFORMS J. Comput , vol.16 , Issue.3 , pp. 291-299
    • Ariyawansa, K.A.1    Felt, A.J.2
  • 6
    • 0035566635 scopus 로고    scopus 로고
    • The recursive definition of stochastic linear programming problems within an algebraic modeling language
    • Buchanan, C. S., K. I. M. McKinnon, G. K. Skondras. 2001. The recursive definition of stochastic linear programming problems within an algebraic modeling language. Ann. Oper. Res. 104 15-32.
    • (2001) Ann. Oper. Res , vol.104 , pp. 15-32
    • Buchanan, C.S.1    McKinnon, K.I.M.2    Skondras, G.K.3
  • 7
    • 0028272637 scopus 로고
    • gLPS: A graphical tool for the definition and manipulation of linear problems
    • Collaud, G., J. Pasquier-Boltuck. 1994. gLPS: A graphical tool for the definition and manipulation of linear problems. Eur. J. Oper. Res. 72 277-268.
    • (1994) Eur. J. Oper. Res , vol.72 , pp. 277-268
    • Collaud, G.1    Pasquier-Boltuck, J.2
  • 8
    • 0036592113 scopus 로고    scopus 로고
    • SISP, simplified interface for stochastic programming: Establishing a hard link between mathematical programming modeling languages and SMPS codes
    • Condevaux-Lanloy, C., E. Fragnière, A King. 2002. SISP, simplified interface for stochastic programming: Establishing a hard link between mathematical programming modeling languages and SMPS codes. Optim. Methods Software 17(Special Issue) 423-443.
    • (2002) Optim. Methods Software , vol.17 , Issue.SPEC. ISSUE , pp. 423-443
    • Condevaux-Lanloy, C.1    Fragnière, E.2    King, A.3
  • 10
    • 67649987178 scopus 로고    scopus 로고
    • A modelling system for stochastic programming
    • Edinburgh, Scotland, September 14, Operational Research Society, Birmingham, UK
    • Dempster, M. A. H., E. A. Medova, J. E. Scott. 1999. A modelling system for stochastic programming. Presentation, OR41, Edinburgh, Scotland, September 14, Operational Research Society, Birmingham, UK.
    • (1999) Presentation, OR41
    • Dempster, M.A.H.1    Medova, E.A.2    Scott, J.E.3
  • 11
    • 65949085474 scopus 로고    scopus 로고
    • Stochastic modelling and optimization using STOCHASTICS
    • S. Wallace, W. Ziemba, eds, Chapter 9. Society for Industrial and Applied Mathematics, Philadelphia
    • Dempster, M. A. H., J. E. Scott, G. W. P. Thompson. 2005. Stochastic modelling and optimization using STOCHASTICS. S. Wallace, W. Ziemba, eds. Applications of Stochastic Programming, MPSSIAM Series in Optimization, Chapter 9. Society for Industrial and Applied Mathematics, Philadelphia, 137-158.
    • (2005) Applications of Stochastic Programming, MPSSIAM Series in Optimization , pp. 137-158
    • Dempster, M.A.H.1    Scott, J.E.2    Thompson, G.W.P.3
  • 12
    • 33750973517 scopus 로고    scopus 로고
    • Modeling and solving stochastic programming problems in supply chain management using Xpress-SP
    • J. Geunes, P. Pardalos, eds, Chapter 10. Springer, Boston
    • Dormer, A., A. Vazacopoulos, N. Verma, H. Tipi. 2005. Modeling and solving stochastic programming problems in supply chain management using Xpress-SP. J. Geunes, P. Pardalos, eds. Supply Chain Optimization, Applied Optimization, Vol. 98, Chapter 10. Springer, Boston, 307-354.
    • (2005) Supply Chain Optimization, Applied Optimization , vol.98 , pp. 307-354
    • Dormer, A.1    Vazacopoulos, A.2    Verma, N.3    Tipi, H.4
  • 14
    • 0035562160 scopus 로고    scopus 로고
    • Language constructs for modeling stochastic linear programs
    • Entriken, R. 2001. Language constructs for modeling stochastic linear programs. Ann. Oper. Res. 101 49-66.
    • (2001) Ann. Oper. Res , vol.101 , pp. 49-66
    • Entriken, R.1
  • 15
    • 67649996492 scopus 로고    scopus 로고
    • Fleten, S.-E., S. W. Wallace, W. T. Ziemba. 2002. Hedging electricity portfolios via stochastic programming. C. Greengard, A. Ruszczy' nski, eds. Decision Making Under Uncertainty- Energy and Power. The IMA in Mathematics and Its Applications, 128. Springer-Verlag, New York, 71-93.
    • Fleten, S.-E., S. W. Wallace, W. T. Ziemba. 2002. Hedging electricity portfolios via stochastic programming. C. Greengard, A. Ruszczy' nski, eds. Decision Making Under Uncertainty- Energy and Power. The IMA Volumes in Mathematics and Its Applications, Vol. 128. Springer-Verlag, New York, 71-93.
  • 16
    • 84862770846 scopus 로고    scopus 로고
    • Proposals for stochastic programming in the AMPL modeling language
    • Fourer, R., D. M. Gay. 1997. Proposals for stochastic programming in the AMPL modeling language. Internat. Sympos. Math. Programming, http://users.iems.northwestern.edu/∼4er/SLIDES/#lsn9708.
    • (1997) Internat. Sympos. Math. Programming
    • Fourer, R.1    Gay, D.M.2
  • 17
    • 33644664791 scopus 로고    scopus 로고
    • A management system for decompositions in stochastic programming
    • Fourer, R., L. Lopes. 2006. A management system for decompositions in stochastic programming. Ann. Oper. Res. 142 99-118.
    • (2006) Ann. Oper. Res , vol.142 , pp. 99-118
    • Fourer, R.1    Lopes, L.2
  • 18
    • 0001415052 scopus 로고
    • A modeling language for mathematical programming
    • Fourer, R., D. M. Gay, B. W. Kernighan. 1990. A modeling language for mathematical programming. Management Sci. 36(5) 519-554.
    • (1990) Management Sci , vol.36 , Issue.5 , pp. 519-554
    • Fourer, R.1    Gay, D.M.2    Kernighan, B.W.3
  • 20
    • 84862766926 scopus 로고    scopus 로고
    • GAMS Development Corporation
    • GAMS Development Corporation. 2005. OSL stochastic extensions. http://www.gams.com/solvers/oslse.pdf.
    • (2005) OSL stochastic extensions
  • 21
    • 34249957971 scopus 로고
    • MSLiP: A computer code for the multistage stochastic linear programming problem
    • Gassmann, H. I. 1990. MSLiP: A computer code for the multistage stochastic linear programming problem. Math. Programming 47 407-423.
    • (1990) Math. Programming , vol.47 , pp. 407-423
    • Gassmann, H.I.1
  • 22
    • 21844512385 scopus 로고
    • Scenario formulation in an algebraic modelling language
    • Gassmann, H. I., A. M. Ireland. 1995. Scenario formulation in an algebraic modelling language. Ann. Oper. Res. 59 45-75.
    • (1995) Ann. Oper. Res , vol.59 , pp. 45-75
    • Gassmann, H.I.1    Ireland, A.M.2
  • 23
    • 21344473838 scopus 로고    scopus 로고
    • On the formulation of stochastic linear programs using algebraic modelling languages
    • Gassmann, H. I., A. M. Ireland. 1996. On the formulation of stochastic linear programs using algebraic modelling languages. Ann. Oper. Res. 64 83-112.
    • (1996) Ann. Oper. Res , vol.64 , pp. 83-112
    • Gassmann, H.I.1    Ireland, A.M.2
  • 24
    • 0035562336 scopus 로고    scopus 로고
    • A comprehensive input format for stochastic linear programs
    • Gassmann, H. I., E. Schweitzer. 2001. A comprehensive input format for stochastic linear programs. Ann. Oper. Res. 104 89-125.
    • (2001) Ann. Oper. Res , vol.104 , pp. 89-125
    • Gassmann, H.I.1    Schweitzer, E.2
  • 25
    • 0003704256 scopus 로고    scopus 로고
    • Hooking your solver to AMPL
    • Technical report, Bell Laboratories, Murray Hill, NJ
    • Gay, D. M. 1997. Hooking your solver to AMPL. Technical report, Bell Laboratories, Murray Hill, NJ, http://www.ampl.com/hooking.html.
    • (1997)
    • Gay, D.M.1
  • 26
    • 0000800872 scopus 로고
    • Stochastic decomposition: An algorithm for two-stage linear programs with recourse
    • Higle, J., S. Sen. 1991. Stochastic decomposition: An algorithm for two-stage linear programs with recourse. Math. Oper. Res. 16 650-669.
    • (1991) Math. Oper. Res , vol.16 , pp. 650-669
    • Higle, J.1    Sen, S.2
  • 28
    • 0012234873 scopus 로고    scopus 로고
    • SLP-IOR: An interactive model management system for stochastic linear programs
    • Kall, P., J. Mayer. 1996. SLP-IOR: An interactive model management system for stochastic linear programs. Math. Programming 75 221-240.
    • (1996) Math. Programming , vol.75 , pp. 221-240
    • Kall, P.1    Mayer, J.2
  • 29
    • 67649946972 scopus 로고    scopus 로고
    • King, A. J. 1994. SP/OSL V1.0, Stochastic Programming Interface Library, User's Guide, IBMT . J. Watson Research Center, Yorktown Heights, NY.
    • King, A. J. 1994. SP/OSL V1.0, Stochastic Programming Interface Library, User's Guide, IBMT . J. Watson Research Center, Yorktown Heights, NY.
  • 31
    • 0031678181 scopus 로고    scopus 로고
    • Financial asset-pricing theory and stochastic programming models for asset/liability management: A synthesis
    • Klaassen, P. 1998. Financial asset-pricing theory and stochastic programming models for asset/liability management: A synthesis. Management Sci. 44(1) 31-48.
    • (1998) Management Sci , vol.44 , Issue.1 , pp. 31-48
    • Klaassen, P.1
  • 32
    • 0041743300 scopus 로고
    • Sequential decision models for selecting currency options
    • Technical Report 133-90, International Financial Services Research Center, MIT, Cambridge, MA
    • Klaassen, P., J. F. Shapiro, D. E. Spitz. 1990. Sequential decision models for selecting currency options. Technical Report 133-90, International Financial Services Research Center, MIT, Cambridge, MA.
    • (1990)
    • Klaassen, P.1    Shapiro, J.F.2    Spitz, D.E.3
  • 33
    • 0021425467 scopus 로고
    • Literate programming
    • Knuth, D. E. 1984. Literate programming. Comput. J. 27 97-111.
    • (1984) Comput. J , vol.27 , pp. 97-111
    • Knuth, D.E.1
  • 34
    • 67649968673 scopus 로고    scopus 로고
    • Kristjansson, B. 2005. MPL User Manual. Maximal Software, Inc., Arlington, VA.
    • Kristjansson, B. 2005. MPL User Manual. Maximal Software, Inc., Arlington, VA.
  • 36
    • 0031219863 scopus 로고    scopus 로고
    • Modelling and analysis of multistage stochastic programming problems: A software environment
    • Messina, E., G. Mitra. 1997. Modelling and analysis of multistage stochastic programming problems: A software environment. Eur. J. Oper. Res. 101 343-359.
    • (1997) Eur. J. Oper. Res , vol.101 , pp. 343-359
    • Messina, E.1    Mitra, G.2
  • 37
    • 0000514655 scopus 로고
    • Scenarios and policy aggregation in optimization under uncertainty
    • Rockafellar, R. T., R. J.-B. Wets. 1991. Scenarios and policy aggregation in optimization under uncertainty. Math. Oper. Res. 16 119-147.
    • (1991) Math. Oper. Res , vol.16 , pp. 119-147
    • Rockafellar, R.T.1    Wets, R.J.-B.2
  • 38
    • 33644677628 scopus 로고    scopus 로고
    • A stochastic programming integrated environment
    • S. W. Wallace, W. T. Ziemba, eds, Chapter 8. Society for Industrial and Applied Mathematics, Philadelphia
    • Valente, P., G. Mitra, C. Poojari, T. Kyriakis. 2005. A stochastic programming integrated environment. S. W. Wallace, W. T. Ziemba, eds. Applications of Stochastic Programming, MPS-SIAM Series on Optimization, Chapter 8. Society for Industrial and Applied Mathematics, Philadelphia, 115-136.
    • (2005) Applications of Stochastic Programming, MPS-SIAM Series on Optimization , pp. 115-136
    • Valente, P.1    Mitra, G.2    Poojari, C.3    Kyriakis, T.4
  • 39
    • 67649999671 scopus 로고    scopus 로고
    • Valente, P., G. Mitra, M. Sadki, R. Fourer. 2003. Extending algebraic modelling languages for stochastic programming. Technical Report CTR/09/03, CARISMA and Brunel University, Uxbridge, Middlesex, UK, http://hdl.handle.net/ 2438/767.
    • Valente, P., G. Mitra, M. Sadki, R. Fourer. 2003. Extending algebraic modelling languages for stochastic programming. Technical Report CTR/09/03, CARISMA and Brunel University, Uxbridge, Middlesex, UK, http://hdl.handle.net/ 2438/767.


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.