Design and Implementation of a Stochastic Programming Optimizer with Recourse and Tenders

Nazareth, J.L. (1985). Design and Implementation of a Stochastic Programming Optimizer with Recourse and Tenders. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-85-063

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Abstract

This paper serves two purposes, to which we give equal emphasis. First, it describes an optimization system for solving large-scale stochastic linear programs with simple (i.e. decision-free in the second stage) recourse and stochastic right-hand-side elements. Second, it is a study of the means whereby large-scale Mathematical Programming Systems may be readily extended to handle certain forms of uncertainty, through post-optimal options akin to sensitivity on parametric analysis, which we term "recourse analysis". This latter theme (implicit throughout the paper) is explored in a proselytizing manner, in the concluding section.

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