Capability of Gurobi for solving stochastic programming models

Answered

Sakir Karakay

• September 28, 2024 09:58
• Edited

Hi,

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?

Related to

• Bender's
• Stochastic

0

• 

  Riley Clement

  Gurobi Staff

  • September 30, 2024 01:15

  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.