FortSP is a solver specifically developed for stochastic pro- What is AMPLDev? gramming (SP) problems. It is used by AMPLDev SP Edition to AMPLDev is an integrated modelling and solving solve problems formulated in SAMPL and may be used on its environment for deterministic and stochastic op- own to solve problems presented in SMPS format. FortSP is timisation. In essence, it is a graphical interface available as a standalone program and as a library with / for AMPL and SAMPL. AMPLDev, in its stochastic C++ interface. It has a powerful plug-in system to connect to edition, is designed to build, solve and analyse solvers used by the solution algorithms implemented in stochastic models in a quick and scalable way. FortSP. Currently supported solvers are FortMP, and AMPLDev is used in developing large-scale opti- Cplex. These solvers are used to optimize the sub-problems misation models in many application domains which emerge from the decomposition methods and/or the including supply chain, logistics, production plan- deterministic equivalent model instance. ning, scheduling, portfolio optimization and risk management.

Key Features

FortSP is designed to solve both two-stage and multi- stage recourse problems. The following decomposition algorithms are available in FortSP for solving the class of problems referred to as Here and Now problems: Stochastic models and measures  Benders' decomposition – L-shaped method Starting from a single model instance, FortSP can auto-  Variant of level decomposition and alternative matically formulate and solve the Here and Now, Wait regularization methods and See and Expected Value problem classes.  Nested Benders' decomposition The values of the following stochastic measures can be FortSP can also automatically formulate and solve deter- derived from the solutions of the problem classes above: ministic equivalents of two-stage problems with chance constraints and integrated chance constraints. For inte-  EVPI (Expected Value of Perfect Information) grated chance constraints, an efficient cutting-plane algo-  VSS (Value of Stochastic Solution) rithm is provided.

What is SAMPL? Contact Us SAMPL extends the leading algebraic modeling language Tel: +44 (0)1895 819 486/488 SAMPL extends the leading algebraic modelling language AMPL by incorporating syntaxes covering random nature AMPL by incorporating syntax that helps expressing the Email: [email protected] of the problems. SAMPL introduces powerful constructs random nature of the problems. SAMPL introduces power- : Optirisk Systems for formulating complex stochastic programming and ful constructs for formulating complex stochastic program- integrated chance constrained programming models. : @OptiriskSystems ming and (integrated) chance constrained programming Demos on request models.