How does Gurobi recognize/solve simple stochastic programs?

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2 comments

  • Daniel Espinoza

    Hi Alexander,

    For now, Gurobi does not have any special algorithm for dealing with stochastic optimization problems. In the webinar we used the deterministic equivalent formulation, i.e. the extensive formulation of the problem, to solve the stochastic problems.

    Now, for many practical problems, this approach is more than able to solve the stochastic problem, specially for two-stage stochastic problems without chance constraints.

    Daniel

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  • shahla rezaei

    Hi Alexander

    is there any approach to equip gurobi to cover optimization problem with uncertainty and clearly multi-stage stochastic programming. as you know these type of problems these days are the most demanding optimization problems in industry and academia.

    regards

    Shahla

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