Systems Optimization Laboratory
Stanford, CA 94305-4121 USA
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Stochastic Linear Programming
Planning under uncertainty
Professors George Dantzig and Gerd Infanger have a special interest in
developing methods and software for stochastic linear programming.
This SOL research program concerns techniques for solving mathematical
models of decision problems whose parameters (coefficients, right-hand
sides) are not known with certainty but are assumed known from
their distributions. Such models arise in all practical
problems of planning, scheduling, designing,
and controlling complex situations. The models are extremely large. New
breakthrough methods, based on sampling, now make them solvable. Our activities
include fundamental theoretical research on algorithms for stochastic linear
and nonlinear programs, efficient software implementations on serial and
parallel computers, and applications research in diverse areas. Recent
applications include: planning, scheduling, and control of electric power
systems; design and operation of production lines; portfolio optimization
and asset-lifability management; vehicle placement and
scheduling in transportation,
optimal design of communication systems.
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