ENME 725 Probabilistic Optimization

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References

Optimization and Equilibrium Problems

Downloads

Main Area	Topic
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)

Links

Professional Societies

• Institute for Operations Research and the Management Sciences (INFORMS)
• Society for Industrial and Applied Mathematics (SIAM)
• Mathematical Programming Society (MPS)

Journals

• SIAM Journal on Optimization
• SIAM Journal on Control and Optimization
• INFORMS Journal on Computing
• Mathematical Programming
• Management Science
• Operations Research
• Transportation Science
• Mathematics of Operations Research
• Marketing Science
• Annals of Operations Research
• Computational & Mathematical Organization Theory
• Computational Optimization and Applications
• Journal of Combinatorial Optimization
• Journal of Global Optimization
• European Journal of Operational Research

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