Robust and Stochastic Optimization in AMPL

[qwer1304]

Are there any AMPL extensions to assist in Robust and/or Stochastic
optimization?

I read the StAMPL papers, but it seems the proposed extensions didn't make
it into AMPL, or did they?

Thx,
David
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[Mc]

Hi David,

SPInE is an integrated modelling and solving environment for stochastic programming. SPInE is designed to build, solve and analyse stochastic models in a compact and non factitious way. The focus on stochastic programming problems gives several advantages over the use a general modelling system, such as the ability to use decomposition methods to solve large scale problems and user friendly ways to define the tree structure.

The modelling subsystem of the SPInE environment is based on our stochastic programming extensions SAMPL, which extend the leading algebraic modelling language AMPL. By combining natural definitions of the randomness of the problems with the existing features of these optimisation systems, such extensions introduce powerful constructs for formulating complex stochastic programming and (integrated) chance constrained programming models. The modelling subsystem is able to generate model data in SMPS format, giving SPInE the ability to link any external solver which supports this standard.

More information can be found at,
http://www.optirisk-systems.com/products_spine.asp

Cheers
Michael

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