I have a problem with AMPL to do a stochastic programming,
currently I have three scenarios and assign probabilities before each solution.
for { t in 1..SIZE-1 by 2} {
let Demand := DemandSeq[t];
let Resources := ResourcesSeq[t];
# change probability of each stage
if StateSequence[t] = 1 # N
then {
let P[1]:= 0.7;
let P[2]:= 0.2;
let P[3]:= 0.1;
}
else if StateSequence[t] = 2 # A
then {
let P[1]:= 0.6;
let P[2]:= 0.3;
let P[3]:= 0.1;
}
else if StateSequence[t] = 3 # M
then {
let P[1]:= 0.5;
let P[2]:= 0.4;
let P[3]:= 0.1;
};
solve;
...
}
Now what if I change this three scenarios problem into a 10 scenarios problem. I already have a 10*10 probability matrix, but I don't know how to assign prob.
As I replied on the AMPL Google Group, you can define a two-dimensional parameter to store probabilities:
param Probs{1..10, 1..10};
define it in the data in a compact form (or read from a database or a spreadsheet), for example:
data;
param Probs :
1 2 3 ... 10 :=
1 0.1 0.2 0.05 ... 0.1
...
and use an iterated form of let
to assign the data to P:
let {i in 1..10} P[i] := Prob[StateSequence[t], i];