Answers to: Solvers Implementing Specialized Methods for Stochastic Integer Programminghttp://www.or-exchange.com/questions/3932/solvers-implementing-specialized-methods-for-stochastic-integer-programming<p>I'm wondering what software implements specialized methods for stochastic integer programs. I've found SPL-IOR implements methods for simple integer recourse, and PySP includes progressive hedging algorithms. I know there are others that write the deterministic equivalent and allow you to give the DE to an existing IP solver. Is there anything else?</p>
<p>I'm working on implementing the D^2 and D^2-BAC algorithms, first described in "The C3 Theorem and a D2 Algorithm for Large Scale Stochastic Integer Programming: Set Convexification" (Sen and Higle, Math Programming, 2005). I'd especially be interested in an existing implementation of these algorithms. Lewis Ntaimo's dissertation does an excellent job of describing them in detail (including pseudocode!), but the implementation is not so trivial.</p>
<p>Thanks!</p>enSun, 25 Mar 2012 04:12:08 -0400Comment by Ehsan on Ehsan's answerhttp://www.or-exchange.com/questions/3932/solvers-implementing-specialized-methods-for-stochastic-integer-programming#5098<p><a href="/users/630/anahita/"><a href="/users/630/anahita/">@anahita</a></a>: Thanks for correcting the mistake.</p>EhsanSun, 25 Mar 2012 04:12:08 -0400http://www.or-exchange.com/questions/3932/solvers-implementing-specialized-methods-for-stochastic-integer-programming#5098Comment by anahita on Ehsan's answerhttp://www.or-exchange.com/questions/3932/solvers-implementing-specialized-methods-for-stochastic-integer-programming#5097<p>Lingo 12.0 with nested Benders is for the continuous case only.</p>anahitaSat, 24 Mar 2012 13:03:37 -0400http://www.or-exchange.com/questions/3932/solvers-implementing-specialized-methods-for-stochastic-integer-programming#5097Comment by Luis de la Torre on Yunwei's answerhttp://www.or-exchange.com/questions/3932/solvers-implementing-specialized-methods-for-stochastic-integer-programming#4584<p>Fantastic! Is there a mailing list I can get on for release announcements of your code, or can you post on OR-Exchange when the general integer version is released?</p>Luis de la TorreThu, 12 Jan 2012 12:15:37 -0500http://www.or-exchange.com/questions/3932/solvers-implementing-specialized-methods-for-stochastic-integer-programming#4584Comment by Samik R. on Ehsan's answerhttp://www.or-exchange.com/questions/3932/solvers-implementing-specialized-methods-for-stochastic-integer-programming#4582<p>I think I read somewhere that Solver Foundation can solve 2-stage recourse problems, but I might be wrong.</p>Samik R.Thu, 12 Jan 2012 11:29:06 -0500http://www.or-exchange.com/questions/3932/solvers-implementing-specialized-methods-for-stochastic-integer-programming#4582Answer by Samik R.http://www.or-exchange.com/questions/3932/solvers-implementing-specialized-methods-for-stochastic-integer-programming/4581<p>OptQuest uses tabu search (a meta-heuristic) and can solve stochastic MINLP's. It is a commercial package, available directly from <a href="http://www.opttek.com/">Opttek</a>, or with a few other Monte Carlo simulation packages. For example, Oracle Crystal Ball can perform simulation and stochastic optimization within Excel and has a friendly GUI.</p>
<p>Disclaimer: I work for Oracle Crystal Ball.</p>Samik R.Thu, 12 Jan 2012 11:25:28 -0500http://www.or-exchange.com/questions/3932/solvers-implementing-specialized-methods-for-stochastic-integer-programming/4581Answer by Yunweihttp://www.or-exchange.com/questions/3932/solvers-implementing-specialized-methods-for-stochastic-integer-programming/4556<p>There is an implementation with me which has been reported in Yuan and Sen's Enhanced D^2-BAC paper. We will soon have an general integer version also.
For sampling, you may take a look at the SD Project (for continuous SP)
<a href="https://sites.google.com/a/datadrivendecisions.org/www/">https://sites.google.com/a/datadrivendecisions.org/www/</a></p>YunweiThu, 12 Jan 2012 01:18:51 -0500http://www.or-exchange.com/questions/3932/solvers-implementing-specialized-methods-for-stochastic-integer-programming/4556Answer by NVAhttp://www.or-exchange.com/questions/3932/solvers-implementing-specialized-methods-for-stochastic-integer-programming/3952<p>AIMMS, which comes with free academic license, provide some methods for solving stochastic programming problem (I'm sorry I do not know much in this field)</p>
<p><a href="http://www.aimms.com/operations-research/mathematical-programming/stochastic-programming">http://www.aimms.com/operations-research/mathematical-programming/stochastic-programming</a></p>NVAFri, 04 Nov 2011 01:05:33 -0400http://www.or-exchange.com/questions/3932/solvers-implementing-specialized-methods-for-stochastic-integer-programming/3952Comment by Luis de la Torre on Luis de la Torre's questionhttp://www.or-exchange.com/questions/3932/solvers-implementing-specialized-methods-for-stochastic-integer-programming#3949<p>Thanks for the help. There isn't really a clear answer to mark as the 'correct' one but both of these help.</p>Luis de la TorreThu, 03 Nov 2011 11:11:47 -0400http://www.or-exchange.com/questions/3932/solvers-implementing-specialized-methods-for-stochastic-integer-programming#3949Answer by Shabbir Ahmedhttp://www.or-exchange.com/questions/3932/solvers-implementing-specialized-methods-for-stochastic-integer-programming/3946<p>See ddsip <a href="http://www.neos-server.org/neos/solvers/slp:ddsip/LP.html">http://www.neos-server.org/neos/solvers/slp:ddsip/LP.html</a> which uses dual decomposition.</p>Shabbir AhmedWed, 02 Nov 2011 21:24:20 -0400http://www.or-exchange.com/questions/3932/solvers-implementing-specialized-methods-for-stochastic-integer-programming/3946Answer by Ehsanhttp://www.or-exchange.com/questions/3932/solvers-implementing-specialized-methods-for-stochastic-integer-programming/3942<p>LINGO 13 can solve stochastic integer programs using DEP (with Monte Carlo sampling). It also offers nested Benders' decomposition for solving stochastic linear programs. The negative point is that it's not free.</p>
<p>DECIS available through GAMS can solve stochastic (non)linear programs through various techniques using other solvers such as CPLEX. However, as far as I know, it cannot solve integer programs as you cannot define stage variables to be discrete. However, looking at its <a href="http://www.gams.com/docs/DECIS-Users_Guide.pdf">user guide</a>, which describes its solution strategies, might give you some ideas.</p>
<p>Finally, it seems that Solver Foundation has some <a href="http://msdn.microsoft.com/en-us/library/ff759369(VS.93).aspx">stochastic programming features</a>, however the MSDN is not very well documented about this and I couldn't find any details about types of problems it can solves or types of algorithms it uses.</p>
<p>Update: As of March 2012, GAMS is offering solution of stochastic programs based on specialized model implementation (EMP reformualtion framework) using different solvers such as DE, DECIS, and LINDO.</p>EhsanWed, 02 Nov 2011 15:31:57 -0400http://www.or-exchange.com/questions/3932/solvers-implementing-specialized-methods-for-stochastic-integer-programming/3942