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

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/2688 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/2688 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/2688 archive 351 disk0/00/00/26/38 2016-01-15 01:55:52 2021-08-27 17:12:19 2016-01-15 01:55:52 monograph show 2 Nazareth J.L. AL1035 Design and Implementation of a Stochastic Programming Optimizer with Recourse and Tenders pub iis_met iis_mod prog_ado 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. 1985-10 published WP-85-063 WP-85-063 2226 public working_paper IIASA, Laxenburg, Austria 33 FALSE info:eu-repo/semantics/book