Scenario tree generation approaches using K-means and LP moment matching methods

DOI10.1016/j.cam.2012.05.020zbMath1245.05106OpenAlexW2095283796MaRDI QIDQ442753

Zhiping Chen, Daobao Xu, Li Yang

Publication date: 3 August 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.05.020

zbMATH Keywords

simulationscenario treemoment matchingMGARCHK-means clusteringLP

Mathematics Subject Classification ID

Linear programming (90C05) Edge subsets with special properties (factorization, matching, partitioning, covering and packing, etc.) (05C70)

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Uses Software

• OptiRisk

Cites Work

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