SPInE
SPInE is an integrated modelling and solving environment for stochastic programming. SPInE is designed to build, solve and analyse stochastic models in a compact and non factitious way. The focus on stochastic programming problems gives several advantages over the use a general modelling system, such as the ability to use decomposition methods to solve large scale problems and user friendly ways to define the tree structure.
Key Features
Optimisation under Uncertainty
SPInE can be used to investigate a large family of models for optimisation under uncertainty, including:
- Chance Constrained Problems
- Integrated Chance Constrained Problems
- Two-stage Stochastic Programming problems
- Multistage Stochastic Programming problems
Powerful Modelling
The modelling subsystem of the SPInE environment is based on our stochastic programming extensions SAMPL, which extend the leading algebraic modelling language AMPL. By combining natural definitions of the randomness of the problems with the existing features of these optimisation systems, such extensions introduce powerful constructs for formulating complex stochastic programming and (integrated) chance constrained programming models. The modelling subsystem is able to generate model data in SMPS format, giving SPInE the ability to link any external solver which supports this standard.
Powerful solving
Closely coupled with the modelling system, SPInE includes a stochastic solver FortSP, which incorporates alternative solution algorithms including:
- Benders' decomposition
- Level decomposition
- Lagrangean relaxation
The solver is also capable of computing good discrete feasible solutions to "real world" instances of mixed integer SP models. Deterministic equivalent instances may be also constructed and solved using the Interior Point Method (IPM).
Powerful analysis
SPInE is sufficiently versatile and allows the modeller to perform scenario analysis, analysis of 'Here and Now' and the 'expected value' solutions. Stochastic information such as the expected value of perfect information (EVPI) and the value of stochastic solution (VSS) are easily computed. By supporting the ODBC standard for database connection, commercial systems can be used to link SPInE with scenario generators as well as to store and analyse the application data. The user can also take advantage of multidimensional data viewers, like On-Line Analytical Processing (OLAP) tools, for the analysis of the model data and the corresponding (optimal) solutions.
Customisable
The modular architecture of SPInE makes it easy to embed the various systems' components into customized applications; taken together, the components comprise a flexible platform for building vertical solutions.
Platforms
- All Windows versions
- 64 bit version under development. Contact us for more information