[Coin-discuss] questions on SMI

[Alan King]

Alan King
Mathematical Sciences, IBM Research
http://www.research.ibm.com/
http://www.research.ibm.com/people/k/kingaj/

Campus Relationship Manager: University of Washington
http://www.washington.edu
http://www.ibm.com/university

coin-discuss-admin at www-124.southbury.usf.ibm.com wrote on 06/22/2004 
03:21:09 PM:

> I'm currently sitting in on a course on stochastic programming.  There
> are about a dozen Ph.D. students in the class, all of whom must do some
> computational exercises (such as implementing the L-shaped method) as
> well as a final project.  If I act fast I may be able to convince one or
> more of them to do final projects that also contribute to SMI.
> 
> However, I'm having a little trouble understanding what SMI can already
> do and what it aspires to.  I've been looking through the documentation
> and code, including the unitTest code.
> 
> I'd appreciate it if someone familiar with SMI could answer these few
> questions:
> 
> 1.  Current capabilities of SMI:  store scenario-based problems, read
> SMPS format, use OSI to solve deterministic equivalent (extensive
> form).  Is that correct? 

Yes: with one addition -- also have ability to store problems with 
independent random vectors.

> 
> 2.  Would an L-shaped method algorithm be a good addition?  Is one
> already in the works?  Are other solution methods particularly desirable
> at this point?

Yes: an L-shaped would be a good addition.  I am planning to do one but 
won't 
get around to it for a while.
Also interesting (and perhaps easier to implement) a progressive hedging 
method.  JJF has code the quadratic already, so should be straightforward 
to implement.

> 
> 3.  Is it correct that adding chance constraints would involve
> developing a new class?  (For starters, I guess it would store the
> description of the chance constraints and would also provide a solution
> through deterministic equivalents for the basic cases.) 
> 

Hmm.  I guess I would subclass SmiScnModel for this (stick to discrete 
distributions) and then have a method "declareChanceConstraint"?

> 4.  Any other ideas for projects that might be useful at this point?

Would be nice to have:
        declare integer variables and propagate through deterministic 
equivalent
        quadratic objective
        more classes of stochastic random variables -- especially arma 
type

> 
> Students are supposed to decide their final project topics by the end of
> the week, so a response within a day or two would be appreciated. 
> Thanks,
> 
> Brady
>

Thanks!
Alan
 
> -- 
> Brady Hunsaker
> Assistant Professor
> Industrial Engineering
> University of Pittsburgh
> http://www.engr.pitt.edu/hunsaker/
> 
> 
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