Stochastic Programming FTP Archive

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Stochastic Programming FTP Archive

This page provides access to a set of WATSON pension fund management test problems, with random coefficients generated according to two different procedures - independent scenario generation and conditional scenario generation.

Please download the readme file in Postscript format readme.ps for further details of the test problems. All files are compressed (.gz suffix) and sizes are in kilobytes.

	Independent Scenarios	Conditional Scenarios
Time Files	timeWAT_10.I.gz	timeWAT_10.C.gz
Core files	coreWAT_10.I.gz (12k)	coreWAT_10.C.gz (12k)

**Watson Test Problems**
# of Scenarios	Independent Scenarios	Conditional Scenarios
16	stochWAT_10.16.I.gz (60k)	stochWAT_10.16.C.gz (60k)
32	stochWAT_10.32.I.gz (104k)	stochWAT_10.32.C.gz (100k)
64	stochWAT_10.64.I.gz (180k)	stochWAT_10.64.C.gz (180k)
128	stochWAT_10.128.I.gz (308k)	stochWAT_10.128.C.gz (296k)
256	stochWAT_10.256.I.gz (516k)	stochWAT_10.256.C.gz (488k)
512	stochWAT_10.512.I.gz (816k)	stochWAT_10.512.C.gz (764k)
768	stochWAT_10.768.I.gz (1240k)	stochWAT_10.768.C.gz (1152k)
1024	stochWAT_10.1024.I.gz (1612k)	stochWAT_10.1024.C.gz (1520k)
1152	stochWAT_10.1152.I.gz (1812k)	stochWAT_10.1152.C.gz (1704k)
1536	stochWAT_10.1536.I.gz (2412k)	stochWAT_10.1536.C.gz (2256k)
1920	stochWAT_10.1920.I.gz (3008k)	stochWAT_10.1920.C.gz (2828k)
2304		stochWAT_10.2304.C.gz (3380k)
2688		stochWAT_10.2688.C.gz (3940k)

Further enquiries regarding this suite of test problems may be made to James Scott.

Copyright (c) Centre for Financial Research 2000
Judge Institute of Management Studies, University of Cambridge, Trumpington Street, Cambridge, CB2 1AG
Tel: +44 (0) 1223 339641 Fax: +44 (0) 1223 339652 Email: cfr@jims.cam.ac.uk