FortSP
Encyclopedia
FortSP is a software package for solving stochastic programming
(SP) problems. It solves scenario-based SP problems with recourse as well as problems with chance constraints and integrated chance constraints. FortSP is available as a standalone executable that accepts input in SMPS format and as a library with an interface in the C programming language.
The solution algorithms provided by FortSP include Benders' decomposition
and a variant of level decomposition for two-stage problems, nested Benders' decomposition for multistage problems and reformulation of the problem as a deterministic equivalent. There is also an implementation of a cutting-plane algorithm for integrated chance constraints.
FortSP supports external linear programming
solvers
such as CPLEX
, FortMP
and Gurobi
through their library interfaces or nl files
. These solvers are used to optimize the deterministic equivalent problem and also the subproblems in the decomposition methods.
Stochastic programming
Stochastic programming is a framework for modeling optimization problems that involve uncertainty. Whereas deterministic optimization problems are formulated with known parameters, real world problems almost invariably include some unknown parameters. When the parameters are known only within...
(SP) problems. It solves scenario-based SP problems with recourse as well as problems with chance constraints and integrated chance constraints. FortSP is available as a standalone executable that accepts input in SMPS format and as a library with an interface in the C programming language.
The solution algorithms provided by FortSP include Benders' decomposition
Benders' decomposition
Benders' decomposition is a technique in mathematical programming that allows the solution of very large linear programming problems that have a special block structure...
and a variant of level decomposition for two-stage problems, nested Benders' decomposition for multistage problems and reformulation of the problem as a deterministic equivalent. There is also an implementation of a cutting-plane algorithm for integrated chance constraints.
FortSP supports external linear programming
Linear programming
Linear programming is a mathematical method for determining a way to achieve the best outcome in a given mathematical model for some list of requirements represented as linear relationships...
solvers
Solver (computer science)
A solver is a generic term indicating a piece of mathematical software, possibly in the form of a stand-alone computer program or as a software library, that 'solves' a mathematical problem. A solver takes problem descriptions in some sort of generic form and calculate their solution...
such as CPLEX
CPLEX
IBM ILOG CPLEX Optimization Studio is an optimization software package. In 2004, the work on CPLEX earned the first ....
, FortMP
FortMP
FortMP is a software package for solving large-scale optimization problems. It solves linear programming problems, quadratic programming problems and mixed integer programming problems...
and Gurobi
Gurobi
Gurobi is a commercial software package for solving large-scale linear optimization, quadratic optimization, and mixed-integer optimization problems...
through their library interfaces or nl files
Nl (format)
nl is a file format for presenting and archiving mathematical programming problems. It supports linear and nonlinear optimization problems as well as complementarity problems , in discrete or continuous variables...
. These solvers are used to optimize the deterministic equivalent problem and also the subproblems in the decomposition methods.