Stocastic optimization of large-scale model

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RWTH_FCN
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Stocastic optimization of large-scale model

Post by RWTH_FCN »

Hi,
I have a large-scale model (huge input data and long run) for electricity market, which minimizes the total system cost (I have an external function for this minimization function). I want to include uncertainty in the model and consider some parameters (assume fuel price) uncertain in order to model the system stochastically. I was wondering how could I solve my problem stochastically (if its possible) with facilities of Vensim like Payoff definition or Optimization options when I have some external functions as well? In other words, can I use stochastic optimization of Vensim when I have a cost minimization problem which is solved by external function?
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Re: Stocastic optimization of large-scale model

Post by Administrator »

Your question is a little vague. You can use the Vensim functionality to run optimization/sensitivity, but obviously your external functions are your responsibility, only you can answer the questions regarding those.
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RWTH_FCN
Senior Member
Posts: 148
Joined: Wed Feb 08, 2017 9:10 am
Vensim version: DSS

Re: Stocastic optimization of large-scale model

Post by RWTH_FCN »

Administrator wrote: Thu Oct 10, 2019 6:56 am Your question is a little vague. You can use the Vensim functionality to run optimization/sensitivity, but obviously your external functions are your responsibility, only you can answer the questions regarding those.
My question was related to using stochastic optimization for a large-scale model which takes hours. Since Monte Carlo Simulation is initial step for using stochastic optimization modeling simulating that in Vensim is impossible unless I simplify model as much as possible.
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