FAST
FAST is a Matlab toolbox designed to solve Multi-stage Stochastic Linear Programs; i.e. sequence of nested linear program where the right-hand side can be time dependent (more here http://baemerick.be/fast/tuto.php).
The toolbox can accommodate almost any kind of random scenarios, up to a time-dependent Markov chain.
FAST uses the SDDP algorithm to tackle the curse of dimensionally by using Monte-Carlo simulations; solving the linear subproblems is done internally using either linprog (from the optimization toolbox) or one of the following commercial solver: Gurobi, Mosek of Cplex.
More information on the Github repository (https://github.com/leopoldcambier/FAST) and the website (https://web.stanford.edu/~lcambier/fast/).
Content is distributed under the open-source license GNU GPL v3 (see https://github.com/leopoldcambier/FAST/blob/master/LICENSE).
引用格式
Léopold Cambier (2024). FAST (https://github.com/leopoldcambier/FAST), GitHub. 检索来源 .
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examples/hydro thermal
examples/hydro thermal AR
examples/optimize stock
examples/production management 2 stages
examples/production management multiple markovian stages
examples/production management multiple stages
src
src/auxprobs
src/modeling
src/modeling/example
src/modeling/tests
src/modeling/utils/forwardMapping
src/modeling/utils/mergeCells
src/modeling/utils/plusScalarFast
src/subroutine/convergence
src/subroutine/fullpath
src/subroutine/fullpath/example
src/subroutine/sddpaux
src/subroutine/solvers
src/subroutine/utils
tests
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