Conveying Problem Structure from an Algebraic Modeling Language to Optimization Algorithms

2000 ◽  
pp. 75-89 ◽  
Author(s):  
Robert Fourer ◽  
David M. Gay
Keyword(s):  
Optimization Algorithms ◽  
Modeling Language ◽  
Problem Structure ◽  
Algebraic Modeling Language

scholarly journals Automatic Formulation of Stochastic Programs Via an Algebraic Modeling Language

2006 ◽  
Vol 4 (1) ◽  
pp. 17-40 ◽  
Author(s):  
J. Thénié ◽  
Ch. van Delft ◽  
J. -Ph. Vial
Keyword(s):  
Modeling Language ◽  
Stochastic Programs ◽  
Algebraic Modeling Language

scholarly journals Optlang: An algebraic modeling language for mathematical optimization

2017 ◽  
Vol 2 (9) ◽  
pp. 139 ◽  
Author(s):  
Kristian Jensen ◽  
Joao G.R. Cardoso ◽  
Nikolaus Sonnenschein
Keyword(s):  
Mathematical Optimization ◽  
Modeling Language ◽  
Algebraic Modeling Language

SDDP.jl: A Julia Package for Stochastic Dual Dynamic Programming

2020 ◽  
Author(s):  
Oscar Dowson ◽  
Lea Kapelevich
Keyword(s):  
Dynamic Programming ◽  
Dynamic Programming Algorithm ◽  
Programming Algorithm ◽  
Modeling Language ◽  
Multistage Stochastic Programming ◽  
Stochastic Dual Dynamic Programming ◽  
Multiple Dispatch ◽  
Algebraic Modeling Language ◽  
User Friendly ◽  
Dual Dynamic Programming

We present SDDP.jl, an open-source library for solving multistage stochastic programming problems using the stochastic dual dynamic programming algorithm. SDDP.jl is built on JuMP, an algebraic modeling language in Julia. JuMP provides SDDP.jl with a solver-agnostic, user-friendly interface. In addition, we leverage unique features of Julia, such as multiple dispatch, to provide an extensible framework for practitioners to build on our work. SDDP.jl is well tested, and accessible documentation is available at https://github.com/odow/SDDP.jl .

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