Stochastic Programming Software: A Comparison for Investment Problem

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Stochastic Programming Software: A Comparison for Investment Problem

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Stochastic Programming Software: A Comparison for Investment Problem

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

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Návaznosti

N - Vyzkumna aktivita podporovana z neverejnych zdroju

Rok uplatnění

2011

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

11-16

Název nakladatele

Professional Publishing

Místo vydání

Praha

Místo konání akce

Janská Dolina, Slovakia

Datum konání akce

6. 9. 2011

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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