Google Groups Home
Help | Sign in
AMPL Modeling Language
Home
+ new post
Pages
Files
About this group
Join this group
Scenario Tree Generation (Stochastic Programming)
Options
There are currently too many topics in this group that display first. To make this topic appear first, remove this option from another topic.
There was an error processing your request. Please try again.
flag
   3 messages - Collapse all
The group you are posting to is a Usenet group. Messages posted to this group will make your email address visible to anyone on the Internet.
Your reply message has not been sent.
Your post was successful
Raquel Joao  
View profile
  More options Apr 24, 6:52 pm
From: "Raquel Joao" <racheljlon...@googlemail.com>
Date: Thu, 24 Apr 2008 23:52:08 +0100
Local: Thurs, Apr 24 2008 6:52 pm
Subject: Scenario Tree Generation (Stochastic Programming)
Reply to author | Forward | Print | Individual message | Show original | Report this message | Find messages by this author

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


    Reply to author    Forward  
You must Sign in before you can post messages.
To post a message you must first join this group.
Please update your nickname on the subscription settings page before posting.
You do not have the permission required to post.
Robert Fourer  
View profile
  More options Apr 25, 11:54 am
From: "Robert Fourer" <4...@ampl.com>
Date: Fri, 25 Apr 2008 10:54:27 -0500
Local: Fri, Apr 25 2008 11:54 am
Subject: RE: [AMPL 1756] Scenario Tree Generation (Stochastic Programming)
Reply to author | Forward | Print | Individual message | Show original | Report this message | Find messages by this author

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

  _____  

From: ampl@googlegroups.com [mailto:ampl@googlegroups.com] On Behalf Of Raquel
Joao
Sent: Thursday, April 24, 2008 5:52 PM
To: ampl@googlegroups.com
Subject: [AMPL 1756] Scenario Tree Generation (Stochastic Programming)

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


    Reply to author    Forward  
You must Sign in before you can post messages.
To post a message you must first join this group.
Please update your nickname on the subscription settings page before posting.
You do not have the permission required to post.
horand.gassm...@googlemail.com  
View profile
  More options Apr 25, 12:00 pm
From: Horand.Gassm...@googlemail.com
Date: Fri, 25 Apr 2008 09:00:12 -0700 (PDT)
Local: Fri, Apr 25 2008 12:00 pm
Subject: Re: Scenario Tree Generation (Stochastic Programming)
Reply to author | Forward | Print | Individual message | Show original | Report this message | Find messages by this author

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

> 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?

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


    Reply to author    Forward  
You must Sign in before you can post messages.
To post a message you must first join this group.
Please update your nickname on the subscription settings page before posting.
You do not have the permission required to post.
End of messages
« Back to Discussions « Newer topic     Older topic »

Create a group - Google Groups - Google Home - Terms of Service - Privacy Policy
©2008 Google