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Line 54: # How to construct scenarios, see {{Section link\|\|Scenario construction}}; # How to solve the deterministic equivalent. Optimizers such as [[CPLEX]], and [[GNU Linear Programming Kit\|GLPK~~]] and [[Gurobi~~]] can solve large linear/nonlinear problems. The NEOS Server,<ref name="neos">{{Cite web\|url=http://www.neos-server.org/neos/\|title = NEOS Server for Optimization}}</ref> hosted at the [[University of Wisconsin, Madison]], allows free access to many modern solvers. The structure of a deterministic equivalent is particularly amenable to apply decomposition methods,<ref>{{cite book\|first2=Alexander\|last2=Shapiro\|last1=Ruszczyński\|first1=Andrzej\|title=Stochastic Programming\|publisher=[[Elsevier]]\|year=2003\|isbn=978-0444508546\|series=Handbooks in Operations Research and Management Science\|volume=10\|___location=Philadelphia\|pages=700\|author1-link=Andrzej Piotr Ruszczyński}}</ref> such as [[Benders' decomposition]] or scenario decomposition; # How to measure quality of the obtained solution with respect to the "true" optimum.

Stochastic programming: Difference between revisions