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Stochastic
Programming at IBM Research
Stochastic
Programming Software
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IBM
Stochastic Solutions
Command-line
interface for solving multiperiod stochastic programs in S-MPS format.
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IBM
Stochastic Extensions
Library
of tools that enable the construction of powerful programs for modeling
and solving stochastic programs. Check out the sample drivers and the very
informative self-documenting include file.
Recent
Reports and Papers
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Alan
J. King, Mehmet Begen, Monica Cojocaru, Ellen Fowler, Yashar Ganjali, Judy
Lai, Taijin Lee, Carmeliza Navasca, Daniel Ryan: Web Hosting Service Level
Agreements. Proceedings of the Pacific Institute for Mathematical Sciences
2001 Industrial Problem Solving Workshop (2001). Online
research report.
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Alan
J. King: Duality and martingales: A stochastic programming perspective
on contingent claims. Mathematical Programming 91 (2002).
Publisher's
online version.
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G.R.
Parija, S. Ahmed, A.J. King: On bridging the gap between stochastic integer
programming and MIP solver technologies. In review, November 2001.
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S.
Ahmed, G.R. Parija, A.J. King: A multi-stage stochastic integer programming
approach for capacity planning under uncertainty. To appear in Journal
of Global Optimization, November 2001.
Recent
Conference Presentations
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de Farias, Daniela P., King, Alan J. and Squillante, Mark S. "Dynamic Control of Web-Server Farms", INFORMS Revenue Management Section Conference, Columbia University, New York, June 13-14, 2002.
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King, Alan J. and Pennanen, T. "Non-parametric calibration and pricing of contingent claims using stochastic programming", Workshop on Dynamic Stochastic Optimization, IIASA, Laxenburg, Austria, March 11-15, 2002.
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Parija,
G.R., Jayant Kalagnanam, and Monalisa Mohanty, "Accepting Bids Under Uncertain
Future Demands, " INFORMS Annual Meeting, Miami, Florida, November 5-8,
2001.
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Parija,
G.R., Bala Ramachandran, "Supplier Contract Allocation, " INFORMS Annual
Meeting, Miami, Florida, November 5-8, 2001.
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Parija,
G.R., and Ahmed S., "Capacity expansion under uncertainty: Stochastic integer
programming approaches, " IX International Conference on Stochastic Programming,
Berlin, Germany, August 25-31, 2001.
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King, Alan J., "Introduction to Financial Applications of Stochastic Programming", IX International Conference on Stochastic Programming,
Berlin, Germany, August 25-31, 2001.
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Ahmed, Shabber and King, Alan J., "A Contingent Claims approach to setting the Franchise Fee for capacity constrained quantity-flexible supply contracts", IX International Conference on Stochastic Programming,
Berlin, Germany, August 25-31, 2001.
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Parija,
G.R., King, A, and Bermon S. “Tool Capacity Planning for Semiconductor
Fabs, ” INFORMS International Meeting, Maui, Hawaii, June 17-20, 2001.
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Parija,
G.R. and King, A.J., "Solving Stochastic Integer Programs Using IBM OSL
Stochastic Extensions, " INFORMS National Meeting, San Antonio, TX, November
5-8, 2000.
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Parija,
G.R. and King, A.J., "On Solving Stochastic Integer Programs, " INFORMS
National Meeting, San Antonio, TX, November 5-8, 2000.
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Ahmed,
S., and King, A.J. and Parija, G.R., "Capacity Planning of Web-Server
Farms, " INFORMS National Meeting, San Antonio, TX, November 5-8, 2000.
Current
Members
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Alan
King (RSM)
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Gyana
Parija (RSM)
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Samer
Takriti (RSM)
Past
Visitors, Post-Docs and Summer Students
Related
links
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