Mathematical Programming Computation, Volume 1, Number 4 / December 2009

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A structure-conveying modelling language for mathematical and stochastic programming

Marco Colombo, Andreas Grothey, Jonathan Hogg, Kristian Woodsend, Jacek Gondzio

Abstract


We present a structure-conveying algebraicmodelling language formathematical programming. The proposed language extends AMPL with object-oriented features that allows the user to construct 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.

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