FortSP is a software package for solving stochastic programming (SP) problems. It solves scenario-based SP problems with recourse as well as problems with chance constraints and integrated chance constraints. FortSP is available as a standalone executable that accepts input in SMPS format and as a library with an interface in the C programming language. The solution algorithms provided by FortSP include

Benders' decomposition Benders decomposition (or Benders' decomposition) is a technique in mathematical programming that allows the solution of very large linear programming problems that have a special block structure. This block structure often occurs in applications ...

and a variant of level decomposition for two-stage problems, nested Benders' decomposition for multistage problems and reformulation of the problem as a deterministic equivalent. There is also an implementation of a cutting-plane algorithm for integrated chance constraints. FortSP supports external linear programming solvers such as

CPLEX IBM ILOG CPLEX Optimization Studio (often informally referred to simply as CPLEX) is an optimization software package. In 2004, the work on CPLEX earned the first INFORMS Impact Prize. History The CPLEX Optimizer was named for the simplex me ...

and FortMP through their library interfaces or nl files. These solvers are used to optimize the deterministic equivalent problem and also the subproblems in the decomposition methods.

References

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External links

OptiRisk Systems home page

FortSP home page
Numerical software Mathematical optimization software