Back to Optimization Under Uncertainty

Stochastic Optimization is a framework for modeling optimization problems that involve uncertainty. Many of the fundamental concepts are discussed in the linear case, Stochastic Linear Optimization.

• Software
  • Stochastic Linear Optimization Solvers on NEOS Server
  • SAMPL - a translator for the modelling language for stochastic optimization based on AMPL

• Resources
  • Stochastic Programming Community Home Page
  • Computational Stochastic Optimization Page at Princeton's Castle Lab

• Test Problems
  • A POrtable Stochastic programming Test Set (POSTS) by Derek Holmes and John Birge
  • Test-Problem Collection for Stochastic Linear Programming by K. Ariyawansa and Andrew Felt
  • Test Set by Jeff Linderoth, Alexander Shapiro and Stephen Wright