Processing of Stochastic Programming blocks

A stochastic block definition is read in as a normal block definition (just that it creates a StochModel object rather than an AmplModel object).

The difference is that StochModel carries information about the stochastic parameters of the block (STAGES, NODES, PROBABILITY, PARENT).

The components of a StochModel are StochModelComp objects (rather than ModelComp objects). The difference here is that a StochModelComp carries information about which stages this component belongs to and if a component is "deterministic" (i.e. there is only one copy of it per stage, instead of one copy per node).

After the reading of the stochastic block is complete, the StochModel object is translated into a chain of AmplModel objects. This is done by StochModel::expandToFlatModel().

Expansion to flat model tree

Expansion works in two passes. In the first pass the chain of AmplModel objects is built (whose components are still StochModelComp objects) In the second pass the StochModelComp objects are translated to ModelComp objects (that is references to StochModelComp objects are resolved to references to ModelComp objects and special stochastic programming expressions such as Exp, node, stage are translated).

The two passes are necessary since model components can refer to other components up or down the tree. Hence the re-resolving of references from StochModelComp to ModelComp can only be done once the AmplModel tree is complete.

In detail the steps in the expansion procedure are as follows

PASS 1:

• Expand the STAGES set for the StochModel (StochModel::expandStages()) and for all its components (StochModel::expandStagesOfComp()) This is done by setting up an ampl script that is processed by ampl and whose output is read in again
• Create an AmplModel for each element in STAGES. Add a clone of all StochModelComp object that should be included in this stage to the model. Also add a ModelComp for the next stage down and its indexing expression to the AmplModel. The indexing expression is of the form

       set indS0 :={this_nd in NODES:A[this_nd]=="root"};
       block S1{ix0 in indS0}
       ...
         set indS1 :={this_nd in NODES:A[this_nd]==ix0};
         block S2{ix1 in indS1}
  

  Here indS0 is a new ModelComp that is added to the AmplModel before the ModelComp representing the subblock of the next stage.

PASS2:

• StochModel::_transcribeComponents(): recursively call StochModelComp::transcribeToModelComp() for all components of all AmplModels within the chain. StochModelComp::transcribeToModelComp() will
  • create a deep copy of the StochModelComp
  • find all IDREF nodes in dependency and resolve them w.r.t AmplModel chain (also resolving 'ancestor' references)
  • find all STAGE/NODE nodes and translate them
  • find all EXP expressions and translate them (EXP constraints are moved up to the correct level in the AmplModel chain Actually they are queued to be moved later to not mess up the recursion)
• AmplModel::applyChanges Apply queued moves of model components (originating from Exp constraints)
• Finally the dependency lists ModelComp::dependencies are rebuilt (root->reassignDependencies)