Stochastic Programming Software: A Comparison for Investment Problem

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F11%3A10102928" target="_blank" >RIV/00216208:11320/11:10102928 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Stochastic Programming Software: A Comparison for Investment Problem
Original language description
Many practical problems involve solving stochastic optimization problems. As the number of scenarios increases, even in the linear case the necessity for specialized algorithms and software arises. This is especially true for the polyhedral case, among which minimization of several risk measures belongs, namely conditional value at risk, mean absolute deviation and others. In this paper we deal with investment problem minimizing conditional value at risk. This model is solved using several algorithms, namely deterministic equivalent, L-shaped algorithm, both in basic and multicut versions, furthermore we present hot start method. Regarding software, we present the comparison of specialized two stage programming software SLP-IOR with general purpose optimization software GAMS. For large scale problems, the best performance is obtained with the L-shaped method solved in C# using GAMS solver CPLEX.
Czech name
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Czech description
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Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 29th International Conference on Mathematical Methods in Economics 2011
ISBN
978-80-7431-058-4
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
11-16
Publisher name
Professional Publishing
Place of publication
Praha
Event location
Janská Dolina, Slovakia
Event date
Sep 6, 2011
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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