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An XML-based schema for stochastic programs

Author

Listed:
  • R. Fourer
  • H. Gassmann
  • J. Ma
  • R. Martin

Abstract

This paper describes a proposed format to record instances of stochastic programs. It forms part of a larger XML-based schema that is designed to allow the expression of essentially any type of mathematical program within a unifying framework. A wide variety of different linear and nonlinear stochastic programs can be handled, and the paper describes in some detail how this is done. Screen captures and sample problems illustrate the use of the schema. Copyright Springer Science+Business Media, LLC 2009

Suggested Citation

  • R. Fourer & H. Gassmann & J. Ma & R. Martin, 2009. "An XML-based schema for stochastic programs," Annals of Operations Research, Springer, vol. 166(1), pages 313-337, February.
    • Handle: RePEc:spr:annopr:v:166:y:2009:i:1:p:313-337:10.1007/s10479-008-0419-x
    DOI: 10.1007/s10479-008-0419-x
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    References listed on IDEAS

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    1. H.I. Gassmann & E. Schweitzer, 2001. "A Comprehensive Input Format for Stochastic Linear Programs," Annals of Operations Research, Springer, vol. 104(1), pages 89-125, April.
    2. R. T. Rockafellar & Roger J.-B. Wets, 1991. "Scenarios and Policy Aggregation in Optimization Under Uncertainty," Mathematics of Operations Research, INFORMS, vol. 16(1), pages 119-147, February.
    3. A. Charnes & W. W. Cooper, 1959. "Chance-Constrained Programming," Management Science, INFORMS, vol. 6(1), pages 73-79, October.
    4. D. Klingman & A. Napier & J. Stutz, 1974. "NETGEN: A Program for Generating Large Scale Capacitated Assignment, Transportation, and Minimum Cost Flow Network Problems," Management Science, INFORMS, vol. 20(5), pages 814-821, January.
    5. Dentcheva, Darinka & Ruszczynski, Andrzej, 2006. "Portfolio optimization with stochastic dominance constraints," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 433-451, February.
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    Cited by:

    1. Olivier Cailloux & Tommi Tervonen & Boris Verhaegen & François Picalausa, 2014. "A data model for algorithmic multiple criteria decision analysis," Annals of Operations Research, Springer, vol. 217(1), pages 77-94, June.
    2. Robert Fourer & Jun Ma & Kipp Martin, 2010. "Optimization Services: A Framework for Distributed Optimization," Operations Research, INFORMS, vol. 58(6), pages 1624-1636, December.

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