XProg is a free MATLAB (version 2012a or above) toolbox specialized in solving optimization problems that involve uncertainty. It supports a wide variety of models, such as stochastic programming, robust and distributionally robust optimization, and also enables users to easily design generalized decision rule approximations for adjustable decisions in multi-stage problems.
XProg is consistent with standard MATLAB syntax and data structure, so it is extremely friendly to those who are familiar with MATLAB. The toolbox relies on highly efficient subroutines to process large sparse matrices and to obtain robust counterparts, in forms of linear, quadratic, second-order cone, or mixed-integer conic programs. It is also capable of exploiting the special structure of uncertainty sets to greatly reduce problem dimensions, thus lowering the computational burden in solving large-scale problems.
This site provides the software package, users' guide, together with illustrative examples. The developer would like to thank you in advance for your comments and support.
XProg is consistent with standard MATLAB syntax and data structure, so it is extremely friendly to those who are familiar with MATLAB. The toolbox relies on highly efficient subroutines to process large sparse matrices and to obtain robust counterparts, in forms of linear, quadratic, second-order cone, or mixed-integer conic programs. It is also capable of exploiting the special structure of uncertainty sets to greatly reduce problem dimensions, thus lowering the computational burden in solving large-scale problems.
This site provides the software package, users' guide, together with illustrative examples. The developer would like to thank you in advance for your comments and support.
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Developer: Peng Xiong
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