6. Building and Solving Stochastic Linear Programming Models with SLP-IOR

Abstract

The goal of this chapter is to describe the capabilities and the usage of SLP–IOR, our interactive model management system for stochastic linear programming (SLP). The main features of SLP–IOR are the following: the system is intended to support the entire life cycle of a model, including model formulation, analysis of the model instance, solving it, and analyzing the solution. A main design characteristic is keeping connection to an algebraic modeling system; we have chosen GAMS (Brooke, Kendrick, and Meeraus 1992, Brooke et al. 1998). This approach has the following advantages: on the one hand, the powerful general–purpose solvers connected to GAMS are available for solving deterministic equivalents of SLP problems. On the other hand, deterministic LP’s formulated in the algebraic modeling language of GAMS can be imported into SLP–IOR for the purpose of developing stochastic variants of these. However, the usage of GAMS is optional; with the exception of the above–mentioned GAMS–related features, SLP–IOR can be fully utilized without having access to GAMS.