#
Efficient Management of Multiple Sets to Extract Complex Structures
from Mathematical Programs

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Logilab Technical Report 1998.6

**
E. Fragniere,
J. Gondzio and
R.
Sarkissian
**

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Abstract
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Most of the applied models written with an algebraic modeling
language involve simultaneously several dimensions such as
materials, location, time or uncertainty. The information about
dimensions available in the algebraic formulation is usually
sufficient to retrieve different block structures from
mathematical programs. These structured problems can then be
solved by adequate solution techniques. To illustrate this idea we
focus on stochastic programming problems with recourse. Taking
into account both time and uncertainty dimensions of these
problems, we are able to retrieve different customized structures
in their constraint matrices.
We applied the Structure Exploiting Tool to retrieve the structure
from models built with the GAMS modeling language. The underlying
mathematical programs are solved with the decomposition algorithm
that applies interior point methods. The optimization algorithm is
run in a sequential and in a parallel computing environment.

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Key words:
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Algebraic Modeling Language, Large-Scale Optimization,
Structure Exploiting Solver, Stochastic Programming with Recourse.

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Text
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PDF TR1998.6.pdf.

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History:
**

Written: March, 1998, revised in June 1999.

Published: *Annals of Operations Research* 104 (2001) 67-87.