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Preface
FortSP is a large scale stochastic programming (SP) solver, which processes linear scenariobased SP problems with recourse. It also supports scenario-based problems with chance
constraints and integrated chance constraints. Implementation of stochastic mixed integer
programming algorithms is available to a limited extent - enhancements are planned for
a future release. Several different SP algorithms are available for the solution, statistical
measures such as expected value of perfect information (EVPI) and value of the stochastic
solution (VSS) may be calculated, and it can use FortMP, CPLEX or CLP as its embedded,
underlying solver engine.
Contents
1 Introduction to FortSP
1.1 The Problem . . . .
1.2 Data Provision . . .
1.3 Solution Methods . .
1.4 External Solvers . . .
1.5 Options and Controls
1.6 System Summary . .
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5 SP Solution Methods
5.1 Deterministic Equivalent . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5.2 Cutting Plane (Benders) . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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2 Mathematical Description of the Problem
2.1 Scenario Tree . . . . . . . . . . . . . . . .
2.2 Two-stage Recourse Models . . . . . . . .
2.3 Multi-stage Recourse Models . . . . . . . .
2.4 Chance and Integrated Chance Constraints
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3 Data Provision in SMPS
3.1 SMPS Input Format . . . . . . . . . . . . . . .
3.2 Core File and Random Parameter Values . . . .
3.3 Time File . . . . . . . . . . . . . . . . . . . . .
3.4 Stoch File . . . . . . . . . . . . . . . . . . . . .
3.5 Chance and Integrated Chance Constraint Data
3.6 Options and Controls for SMPS Data . . . . . .
4 Data Provision in SAMPL
4.1 SAMPL Input Format . . . . .
4.2 SMPS Import . . . . . . . . . .
4.3 The solve Statement . . . . . .
4.4 The print Statement . . . . . .
4.5 The write Statement . . . . . .
4.6 The model and data Statements
4.7 The option Statement . . . . .
4.8 Built-in Names . . . . . . . . .
4.9 Example . . . . . . . . . . . . .
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