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This paper presents a C++ application programming interface for a co-evolutionary algorithm for solution and scenario generation in stochastic problems. Based on a two-space biased random-key genetic algorithm, it involves two types of populations that are mutually impacted by the fitness calculations. In the solution population, high-quality solutions evolve, representing first-stage decisions evaluated by their performance in the face of the scenario population. The scenario population ultimately generates a diverse set of scenarios regarding their impact on the solutions. This application allows the straightforward implementation of this algorithm, where the user needs only to define the problem-dependent decoding procedure and may adjust the risk profile of the decision-maker. This paper presents the co-evolutionary algorithm and structures the interface. We also present some experiments that validate the impact of relevant features of the application.

A C++ application programming interface for co-evolutionary biased random-key genetic algorithms for solution and scenario generation