OPTIRISK Pre-Conference Workshop
- Date and Duration: Tuesday, May 27th, 17:00 - 18:00
- Title: Software tool for Decision Making under uncertainty: a combined paradigm of SP and simulation
Content
This tutorial follows the workshop by Robert Fourer introducing AMPL as a modelling language and its many features. Stochastic AMPL (SAMPL) is an extended version of AMPL, developed to facilitate the modelling of SP problems. SPInE (Stochastic Programming Integrated Environment) is the software system that interprets the language, assists in solving them and interprets the results. Recent extensions enable the modeller to express and solve Chance Constraints and Integrated Chance Constraints in a natural way.
This workshop will include a brief introduction to Stochastic Programming, and the facilities of SAMPL will be presented starting with the formulation of a non stochastic model and changing the problem to include uncertainty in various ways. There will be three main presentations and hands-on sessions; to participate to the latter the attendees are required to bring their own laptops and to register sending an email to christian@optirisk-systems.com with the word APMOD in the subject, to receive the software that will be used in the workshop.
The outline is set out below:
- Introduction to Stochastic Programming
- SAMPL Syntax: SP with recourse
- Hands on session
- Introduction to Chance Constraints and Integrated Chance Constraints
- SAMPL Syntax: CCP and ICCP
- Hands-on CCP
- Hands-on ICCP