FortSP is a solver for stochastic programming (SP) problems in which the underlying optimisation model is a linear programming problem. It is used as the solver for the SPInE modelling system; FortSP may be used on its own to solve problems presented in SMPS format. FortSP is available as a standalone program and as a library with interface in the C programming language. It has a powerful plugin system for connecting external solvers through the COIN-OR Open Solver Interface (OSI). These embedded solvers are used to optimize the deterministic equivalent problem and also the subproblems in the decomposition methods. Currently supported solvers include CLP, CPLEX and FortMP, other OSI-compatible solvers can be easily connected.
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References in zbMATH (referenced in 5 articles )
Showing results 1 to 5 of 5.
- Sandıkçı, Burhaneddin; Özaltın, Osman Y.: An embarrassingly parallel method for large-scale stochastic programs (2019)
- Kim, Kibaek; Zavala, Victor M.: Algorithmic innovations and software for the dual decomposition method applied to stochastic mixed-integer programs (2018)
- Gondzio, Jacek; González-Brevis, Pablo; Munari, Pedro: Large-scale optimization with the primal-dual column generation method (2016)
- Zverovich, Victor; Fábián, Csaba I.; Ellison, Eldon F. D.; Mitra, Gautam: A computational study of a solver system for processing two-stage stochastic LPs with enhanced Benders decomposition (2012)
- Fourer, Robert; Lopes, Leo: StAMPL: A filtration-oriented modeling tool for multistage stochastic recourse problems (2009)