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ENME 725 Probabilistic Optimization

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Optimization and Equilibrium Problems

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Recourse Problems

•  Deterministic agricultural LP From Birge & Louveaux (agriplanning_det.xls)
•  High yield case- agricultural LP from Birge & Louveaux (high_yield_lp.txt),
   this can be used in LINDO
•  Stochastic agricultural LP in extensive form from Birge & Louveaux
   (agriplanning_stochastic_ef.xls)

• Benders Decomposition LP Example (benders_lp_example.xls)

 

 

Chance Constraints
•  Example of log (1-F(x)) where F(.) is (standard) normally distributed
   (log_exess_normalcdf.xls)
•  Example LP parametric analysis (parametric_on_LP.xls)
•  Piecewise linear approximation #1 (piecewise_linear_approx1.xls)
•  Piecewise linear approximation #2 (piecewise_linear_approx2.txt)
GAMS

•  GAMS webpage
•  GAMS tutorial (.pdf) and associated tutorial GAMS code (.gms) and McCarl's users guide (.pdf)
•  Min cost flow problem description and related version 1 GAMS code (.gms)

Optimization Software
(key:LP=linear programming, IP=integer programming,NLP=nonlinear programming, NCP/VI = nonlinear complementarity problem/variational inequality)

  • GAMS (LP, IP, NLP, NCP/VI)

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