Capability of Gurobi for solving stochastic programming models
AnsweredHi,
I have a large-scale 2-stage stochastic programming (SP) model (including binary variables in both first- and second-stage). Currently, Gurobi solves the problem considering the deterministic-equivalent model. Does Gurobi have a special solution algorithm (e.g., L-shaped) for solving the 2-stage SPs efficiently?
0
-
Hi Sakir,
No, there is no functionality specific to SP, and I suspect based off our backlog and roadmap that this would not exist for some time. You would need to implement an algorithm yourself and call Gurobi to solve the subproblems.
- Riley
0
Please sign in to leave a comment.
Comments
1 comment