Language constructs for modeling stochastic linear programs

Language constructs for modeling stochastic linear programs

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Article ID: iaor20023015
Country: Netherlands
Volume: 104
Issue: 1
Start Page Number: 49
End Page Number: 66
Publication Date: Apr 2001
Journal: Annals of Operations Research
Authors:
Keywords: programming: probabilistic
Abstract:

This paper introduces two tokens of syntax for algebraic modeling langauges that are sufficient to model a wide variety of stochastic optimization problems. The tokens are used to declare random parameters and to define a precedence relationship between different random events. It is necessary to make a number of assumptions in order to use this syntax, and it is through these assumptions, which cover the areas of model structure, time, replication, and stages, that we can attain a deeper understanding of this class of problem.

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