M. Colombo, A. Grothey, J. Hogg, K. Woodsend, J. Gondzio
Abstract
We present a structure-conveying algebraic modelling language
for mathematical programming. The proposed language extends AMPL
with object-oriented features that allows the user to onstruct
models from sub-models, and is implemented as a combination
of pre- and post-processing phases for AMPL. Unlike traditional
modelling languages, the new approach does not scramble the block
structure of the problem, and thus it enables the passing of this
structure on to the solver. Interior point solvers that exploit
block linear algebra and decomposition-based solvers can therefore
directly take advantage of the problem's structure. The language
contains features to conveniently model stochastic programming
problems, although it is designed with a much broader application
spectrum.
Key words: Algebraic modelling languages, mathematical programming, stochastic programming, structure exploitation.