An empirical analysis of scenario generation methods for stochastic optimization (Q323497): Difference between revisions

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+stochastic optimization
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+sample average approximation
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+scenario generation
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+probability metrics
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+Monte Carlo methods
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+A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
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+Introduction to Stochastic Programming
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+Optimal scenario tree reduction for stochastic streamflows in power generation planning problems
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+Comparison of Sampling Methods for Dynamic Stochastic Programming
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+A method for simulating non-normal distributions
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+Scenario reduction algorithms in stochastic programming
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+A note on scenario reduction for two-stage stochastic programs
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+Variance Reduction and Objective Function Evaluation in Stochastic Linear Programs
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+Financial scenario generation for stochastic multi-stage decision processes as facility location problems
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+A heuristic for moment-matching scenario generation
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+Generating Moment Matching Scenarios Using Optimization Techniques
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+A space quantization method for numerical integration
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+Optimal Quantization for Finance: From Random Vectors to Stochastic Processes
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+Epi-convergent discretizations of stochastic programs via integration quadratures
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+Scenario tree generation for multiperiod financial optimization of optimal discretization
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+<i>L</i>-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
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+Publication:323497