Stochastic Solver
Introduction
Incorporate risk into multi-stage optimization models, maximize expected profit, and summarize results in histograms showing the distribution of possible profit, etc.
This new option allows modeling and optimization for models with uncertain elements via multistage stochastic linear, nonlinear and integer stochastic programming (SP). Benders decomposition is used for solving large linear SP models. Deterministic equivalent method is used for solving nonlinear and integer SP models. Support is available for over 20 distribution types (discrete or continuous). The Stochastic Programming solver is included in the Stochastic Programming option.