a solver for nonlinear stochastic programming in pyomo?

Question

I am programming in pyomo solving nonlinear optimization problem (using ipopt solver).Later, I would like to add stochastic elements into the model. I know that in Pyomo you can use CPLEX to address stochastic programming, but CPLEX can only deal with linear programming, mixed-integer programming and quadratic programming.

Is there any solver for general nonlinear stochastic programming problems? If not, how can we deal with it using existing solvers?

Answer 1

You can use PySP, the stochastic programming extension in Pyomo, to solve nonlinear stochastic programming problems. You can either use PySP to form and solve the extensive form of the model with Ipopt or you can use progressive hedging (also available through PySP) to solve the problem although this is more of a heuristic approach for nonlinear models.