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A JuMP extension for Stochastic Dual Dynamic Programming
Julia package for formulating and analyzing stochastic recourse models.
DecisionProgramming.jl is a Julia package for solving multi-stage decision problems under uncertainty, modeled using influence diagrams. Internally, it relies on mathematical optimization. Decision models can be embedded within other optimization models.
Data-driven decision making under uncertainty using matrices
Benders decomposition to solve mixed integer linear programming, especially stochastic programming in seconds!
Implementation of the (dynamic) stochastic dual dynamic integer programming (SDDiP) algorithm.
Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Dependency is handled with vine copulas.
Extensible Benders Decomposition in Python
Julia modeling interface to parallel decomposition solver DSP
Input data and source code for the paper "Modelling uncertainty in coupled electricity and gas system models—is it worth the effort?"
Implement integer-L-shaped method for solving two-stage stochastic programming
Solution of a two-stage stochastic model useful for investment planning using pyomo and mpi-sppy.
02435 - Decision-Making under Uncertainty
VoteEnsemble: Ensemble methods for machine/deep learning and stochastic programming with guaranteed generalization.
Devising an optimal portfolio choosing strategy based on stochastic programming
Codebase for "A learning-based algorithm to quickly compute good primal solutions for Stochastic Integer Programs"
reading SMPS format files in C++ (Two-stage stochastic programs with fixed recourse)
GNU MathProg EDSL for Scala with support for scenario-based multistage stochastic programming
An energy optimization linear problem using a combination of Operations Research (OR) and Machine Learning (ML) including sensitivity and parametric analysis, stochastic programming, robust optimization, and ML-assisted optimization
reading SMPS files in Python (A Python package for reading SMPS files using GUROBI optimizer objects)
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