Stochastic Nonlinear Programming System
N. V. Roenko, Victor Loskutov, Stan Uryasev
Abstract
Open-access reader
N. V. Roenko, Victor Loskutov, Stan Uryasev
Abstract
Open-access reader
This paper contains a detailed description of the Stochastic Nonlinear Programming System (SNLP) intended for solving stochastic optimization problems with simple recourse. This system is a result of collaboration between the Glushkov Institute of Cybernetics (Kiev, USSR) and the International Institute for Applied System Analysis (IIASA) within the framework of the Adaptation and Optimization Project in the System and Decision Sciences Program.
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This paper contains a detailed description of the Stochastic Nonlinear Programming System (SNLP) intended for solving stochastic optimization problems with simple recourse. This system is a result of collaboration between the Glushkov Institute of Cybernetics (Kiev, USSR) and the International Institute for Applied System Analysis (IIASA) within the framework of the Adaptation and Optimization Project in the System and Decision Sciences Program.
Key concepts: Stochastic programming, Cybernetics, Computer science, Simple (philosophy), Stochastic optimization, Nonlinear system, Nonlinear programming, Mathematical optimization