Stochastic Extensions to FlopC++

  • Christian WolfEmail author
  • Achim Koberstein
  • Tim Hultberg
Conference paper
Part of the Operations Research Proceedings book series (ORP)


We extend the open-source modelling language FlopC++, which is part of the COIN-OR project, to support multi-stage stochastic programs with recourse. We connect the stochastic version of FlopC++ to the existing COIN class stochastic modelling interface (SMI) to provide a direct interface to specialized solution algorithms. The new stochastic version of FlopC++ can be used to specify scenario-based problems and distribution-based problems with independent random variables. A data-driven scenario tree generation method transforms a given scenario fan, a collection of different data paths with specified probabilities, into a scenario tree. We illustrate our extensions by means of a two-stage mixed integer strategic supply chain design problem and a multi-stage investment model.


Stochastic Program Scenario Tree Stochastic Version Multistage Stochastic Program Deterministic Equivalent 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2011

Authors and Affiliations

  • Christian Wolf
    • 1
    Email author
  • Achim Koberstein
    • 1
  • Tim Hultberg
    • 2
  1. 1.University of PaderbornPaderbornGermany
  2. 2.EumetsatGermany

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