C.: Parallel algebraic modeling for stochastic optimization

We present scalable algebraic modeling software, StochJuMP, for stochastic optimization as applied to power grid eco-nomic dispatch. It enables the user to express the prob-lem in a high-level algebraic format with minimal boiler-plate. StochJuMP allows efficient parallel model instantia-tion across nodes and efficient data localization. Compu-tational results are presented showing that the model con-struction is efficient, requiring roughly one percent of solve time. StochJuMP is configured with the parallel interior-point solver PIPS-IPM but is sufficiently generic to allow straight forward adaptation to other solvers. Keywords optimization, parallel programming, high performance com-puting, mathematical model, Power system modeling, scal-ability 1