SGPF Testproblems

Brief description of the testproblems:

Consider the problem of financing business activities by borrowing or lending bonds with different maturities. The aim is to maximize the profit, which is determined by the interest rate and price changes of bonds, and the earnings of the underlying business activities.

Decisions have to be taken on the borrowing and lending within some liquid standard maturities, always in adequate consideration of some current portfolio given by the structure of maturing volumes.

Profits are taken into account by accrued interest payments and surplus which appear only in the objective. Stochasticity is incorporated in the objective function (dynamic interest rates over time) and in the RHS (dynamic `volume‘ over time, e.g. the volume of savings account deposits). The left-hand side of the constraints is deterministic.

A more detailed description and mathematical formaulation can be found in the file SGPF.ps which is contained in the downloadable files sgpf.zip and sgpf.tar.gz, respectively.

Format of the testproblems´ instances:

Every testproblem consists of three files, namely SGPF*Y*.COR, SGPF*Y*.TIM and SGPF*Y*.STOCH; together, these three files form a concrete deterministic equivalent program of a multistage stochastic linear program. All files were created according to the socalled SMPS-format for multistage stochastic linear programs. Additional information on the SMPS format itself can be obtained e.g. on the NEOS website http://www-neos.mcs.anl.gov as well as on the internet pages of Horand Gassmann or IBM (`Stochastic Extensions Users Guide‘), respectively.

Content of the downloadable files:

• folder SGPF3Y: contains the core, tim and stoch files corresponding to the problem instances SGPF3Y3 – SGPF3Y7.
• folder SGPF5Y: contains the core, tim and stoch files corresponding to the problem instances SGPF5Y3 – SGPF5Y7.
• file SGPF.ps: contains a detailed description of the underlying real problem situation as well as a mathematical model description; furthermore, some historical CPU-time comparisons are provided.

Available download formats:

Windows: sgpf.zip (compressed using Winzip)

Unix: sgpf.tar.gz (tar file, afterwards compressed with Unix command `gzip‘)