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JuDGE.jl: a Julia package for optimizing capacity expansion

Anthony Downward (a.downward***at***auckland.ac.nz)
Regan Baucke (r.baucke***at***auckland.ac.nz)
Andrew B. Philpott (a.philpott***at***auckland.ac.nz)

Abstract: We present JuDGE.jl, an open-source Julia package for solving multistage stochastic capacity expansion problems using Dantzig-Wolfe decomposition. Models for JuDGE.jl are built using JuMP, the algebraic modelling language in Julia, and solved by repeatedly applying mixed-integer programming. We illustrate JuDGE.jl by formulating and solving a toy knapsack problem, and demonstrate the performance of JuDGE.jl on problems of increasing size in comparison with a deterministic equivalent model.

Keywords: stochastic programming, capacity planning, Dantzig-Wolfe decomposition, Julia, JuMP

Category 1: Applications -- OR and Management Sciences

Category 2: Stochastic Programming

Category 3: Optimization Software and Modeling Systems

Citation: Engineering Science, University of Auckland, November 2020

Download: [PDF]

Entry Submitted: 11/02/2020
Entry Accepted: 11/02/2020
Entry Last Modified: 11/02/2020

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