| Article ID: | iaor20082016 |
| Country: | Netherlands |
| Volume: | 4 |
| Issue: | 1 |
| Start Page Number: | 17 |
| End Page Number: | 40 |
| Publication Date: | Jan 2007 |
| Journal: | Computational Management Science |
| Authors: | Vial J.-Ph., Delft Ch. van, Thni J. |
| Keywords: | programming: mathematical |
This paper presents an open source tool that automatically generates the so-called deterministic equivalent in stochastic programming. The tool is based on the algebraic modeling language AMPL. The user is only required to provide the deterministic version of the stochastic problem and the information on the stochastic process, either as scenarios or as a transitions-based event tree.