The NEOS Server offers Deterministic Equivalent
(DE), which is a solver for stochastic programs modeled with GAMS
Extended Mathematical Programming for Stochastic Programming
Stochastic programs are mathematical programs involving data that is not known
with certainty but is approximated by probability distributions. DE can solve
multi-stage LP, MIP, QCP, NLP and MINLP stochastic programming models. More
information is available on wikipedia.
DE comes free of charge with any licensed GAMS system but requires a
subsolver to solve the generated models. DE has been developed by GAMS Corporation in conversation with Michael Ferris at UW-Madison.
The user must submit a model in GAMS
format to solve an optimization problem. For security purposes, the model
submitted must adhere to the following conventions:
If you are unfamiliar with GAMS, the
GAMS Documentation includes a
GAMS Tutorial and
Examples of models in GAMS format can be found in the
GAMS model library.
By default, the NEOS Server limits the amount of output generated in the
listing file by turning off the symbol and unique element list, symbol cross
references, and restricting the rows and columns listed to zero. This
behavior can be changed by specifying the appropriate options in the model
file. See the
documentation on GAMS output
for further information.
You may optionally submit an options file if you wish to override the
default parameter settings for the solver. Currently, the NEOS Server can
only use optfile=1 with GAMS input. Therefore, any model that
specifies a different options file will not work as intended.
<modelname>.optfile = 1 ;
optfile = 1