Hi, I'm Nils Löhndorf. I am an assistant professor at WU Vienna. As researcher and entrepreneur, I help decision-makers to make better in decisions in the face of uncertainty.
Based on my research on stochastic optimization, I have developed a general-purpose solver for stochastic-dynamic optimization called QUASAR. The solver is intended for analysts, decision-makers, and researchers who want to solve difficult sequential decision problems that involve uncertainty. You can use QUASAR to solve linear multistage stochastic programs, continuous Markov decision processes, or stochastic-dynamic programs. QUASAR features
Generate scenarios from a multivariate distribution (normal, log-normal, uniform) for Monte Carlo simulation, numerical integration or stochastic programming. The generator is based on experiments with different scenario generation methods which are described in this article. The code is available on GitHub.