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.
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
Using the NEOS Server with DE
The user must submit a model in GAMS
format to solve a DE problem. For security purposes, the model
submitted must adhere to the following conventions:
- It must be self contained, i.e., no $include or $batinclude statements.
- It may not execute external programs, i.e., no $call or execute statements.
- It may not create files, i.e., no put files or $echo statements.
If you are unfamiliar with GAMS, the GAMS Documentation Center provides a GAMS Tutorial and User's Guide. Examples of models in GAMS
format can be found in the
GAMS Model Libraries.
The NEOS Server initially 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 the
modeling language for further information.