Building and Solving Large-Scale Stochastic Programs on an Affordable Distributed Computing System

Emmanuel Fragnière; Jacek Gondzio; Jean Philippe Vial

Building and Solving Large-Scale Stochastic Programs on an Affordable Distributed Computing System

Emmanuel Fragnière^*, Jacek Gondzio, Jean Philippe Vial

^*Corresponding author for this work

School of Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract / Description of output

We present an integrated procedure to build and solve big stochastic programming models. The individual components of the system - the modeling language, the solver and the hardware - are easily accessible, or a least affordable to a large audience. The procedure is applied to a simple financial model, which can be expanded to arbitrarily large sizes by enlarging the number of scenarios. We generated a model with one million scenarios, whose deterministic equivalent linear program has 1,111,112 constraints and 2,555,556 variables. We have been able to solve it on the cluster of ten PCs in less than 3 hours.

Original language	English
Pages (from-to)	167-187
Number of pages	21
Journal	Annals of Operations Research
Volume	99
Issue number	1-4
Publication status	Published - 1 Dec 2000

Keywords / Materials (for Non-textual outputs)

Algebraic modeling language
Decomposition methods
Distributed systems
Large-scale optimization
Stochastic programming

Cite this

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title = "Building and Solving Large-Scale Stochastic Programs on an Affordable Distributed Computing System",

abstract = "We present an integrated procedure to build and solve big stochastic programming models. The individual components of the system - the modeling language, the solver and the hardware - are easily accessible, or a least affordable to a large audience. The procedure is applied to a simple financial model, which can be expanded to arbitrarily large sizes by enlarging the number of scenarios. We generated a model with one million scenarios, whose deterministic equivalent linear program has 1,111,112 constraints and 2,555,556 variables. We have been able to solve it on the cluster of ten PCs in less than 3 hours.",

keywords = "Algebraic modeling language, Decomposition methods, Distributed systems, Large-scale optimization, Stochastic programming",

author = "Emmanuel Fragni{\`e}re and Jacek Gondzio and Vial, {Jean Philippe}",

year = "2000",

month = dec,

day = "1",

language = "English",

volume = "99",

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T1 - Building and Solving Large-Scale Stochastic Programs on an Affordable Distributed Computing System

AU - Fragnière, Emmanuel

AU - Gondzio, Jacek

AU - Vial, Jean Philippe

PY - 2000/12/1

Y1 - 2000/12/1

N2 - We present an integrated procedure to build and solve big stochastic programming models. The individual components of the system - the modeling language, the solver and the hardware - are easily accessible, or a least affordable to a large audience. The procedure is applied to a simple financial model, which can be expanded to arbitrarily large sizes by enlarging the number of scenarios. We generated a model with one million scenarios, whose deterministic equivalent linear program has 1,111,112 constraints and 2,555,556 variables. We have been able to solve it on the cluster of ten PCs in less than 3 hours.

AB - We present an integrated procedure to build and solve big stochastic programming models. The individual components of the system - the modeling language, the solver and the hardware - are easily accessible, or a least affordable to a large audience. The procedure is applied to a simple financial model, which can be expanded to arbitrarily large sizes by enlarging the number of scenarios. We generated a model with one million scenarios, whose deterministic equivalent linear program has 1,111,112 constraints and 2,555,556 variables. We have been able to solve it on the cluster of ten PCs in less than 3 hours.

KW - Algebraic modeling language

KW - Decomposition methods

KW - Distributed systems

KW - Large-scale optimization

KW - Stochastic programming

UR - http://www.scopus.com/inward/record.url?scp=0034560693&partnerID=8YFLogxK

M3 - Article

AN - SCOPUS:0034560693

SN - 0254-5330

VL - 99

SP - 167

EP - 187

JO - Annals of Operations Research

JF - Annals of Operations Research

IS - 1-4

ER -

Building and Solving Large-Scale Stochastic Programs on an Affordable Distributed Computing System

Abstract / Description of output

Keywords / Materials (for Non-textual outputs)

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