MSSO-BlockIP is a specialized interior-point algorithm for the solution of multistage stochastic optimization problems (linear or convex quadratic), based on the BlockIP solver. MSSO-BlockIP is an original idea of Jordi Castro, Laureano Escudero and Juan F. Monge. The BlockIP solver is an original idea of Jordi Castro. BlockIP is not a free code. Contact Jordi Castro if you want to use it in any research project. MSSO-BlockIP is mainly appropriate for large problems with many first-stage variables. It has been tested on problems with millions of variables and constraints.

To obtain the code, some examples, and the user's guide just download this file , "tar xzvf" it, and read the README file of the directory that will be created.

To cite the algorithm and for details about it:

J. Castro, L.F. Escudero, J.F. Monge, On solving large-scale multistage stochastic optimization problems with a new specialized interior-point approach, European Journal of Operational Research, (2023), https://doi.org/10.1016/j.ejor.2023.03.042. Open access from this link.