Scenario Tree Generation (Stochastic Programming)

[Raquel Joao]

Hello,

I am trying to solve a stochastic programming problem for which I have a scenario tree with multiple stages and multiple scenarios at each stage.

I have searched the web and found out about SAMPL and SPinE, but unfortunately could not find anymore information on those.

Is there any was to generate a multi-stage scenario tree outside AMPL and then link it somehow with the mod file?

Thank you!
Raquel

[Robert Fourer]

Dear Raquel,

 

I suggest that you fill out the form at www.optirisk-systems.com/request_info.asp; you should then receive a reply with further information about SAMPL and SpinE. 

 

Bob Fourer

4...@ampl.com

 

 

---

[Horand....@googlemail.com]

On Apr 24, 11:52 pm, "Raquel Joao" <racheljlon...@googlemail.com>
wrote:

The answer to this question will depend largely on the data that you
have available, how large the tree will be, and how you intend to
solve it.

AMPL can build the deterministic equivalent easily enough (see
Gassmann and Ireland, Annals of Operations Research 59, 1995), and you
can use data queries to pull the numbers out of a database.

If you have special structures for your tree or special requirements
(such as no arbitrage conditions), you may be better off resorting to
a specialized modelling environment such as SPInE.

The advantage of SPInE is that you can obtain the problem in a form
amenable to solution by decomposition, which is advantageous for large
problems.

HTH

gus gassmann