Documentation for the ADO/SDS Collection of Stochastic Programming Codes

Edwards, J. (1985). Documentation for the ADO/SDS Collection of Stochastic Programming Codes. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-85-002

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Abstract

This paper contains most of the documentation for a collection of routines designed to solve problems in stochastic linear and nonlinear programming. The programs were contributed to the Adaptation and Optimization (ADO) project of the System and Decision Sciences program by several researchers and represent the current state-of-the-art in stochastic programming algorithms (several of the algorithms are discussed in "Numerical Techniques for Stochastic Optimization Problems," Yu. Ermoliev and R Wets eds., whose compilation has been a part of ADO'S work recently). There is much work yet to be done - this paper describes but a single brick in the foundation of stochastic programming techniques. But one brick is vastly superior to no bricks.

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