Discrepancy distances and scenario reduction in two-stage stochastic mixed-integer programming
From MaRDI portal
Publication:1008808
DOI10.3934/jimo.2008.4.363zbMath1161.90450MaRDI QIDQ1008808
René Henrion, Christian Küchler, Werner Römisch
Publication date: 30 March 2009
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2008.4.363
stochastic programming; discrepancy; mixed-integer; chance constraints; two-stage; scenario reduction; Kolmogorov metric
Related Items
Scenario Tree Generation for Multi-stage Stochastic Programs, Fast scenario reduction by conditional scenarios in two-stage stochastic MILP problems, Calculation of Discrepancy Measures and Applications, A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem, Large-scale unit commitment under uncertainty: an updated literature survey, Solution sensitivity-based scenario reduction for stochastic unit commitment, Constraint generation for risk averse two-stage stochastic programs, Multi-stage distributionally robust optimization with risk aversion, Problem-based optimal scenario generation and reduction in stochastic programming, An enumerative formula for the spherical cap discrepancy, The stochastic guaranteed service model with recourse for multi-echelon warehouse management, Scenario tree reduction for multistage stochastic programs, Multistage stochastic demand-side management for price-making major consumers of electricity in a co-optimized energy and reserve market, Large-scale unit commitment under uncertainty, Iterative scenario based reduction technique for stochastic optimization using conditional value-at-risk, Recent Progress in Two-stage Mixed-integer Stochastic Programming with Applications to Power Production Planning, Stochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk Management, Scenario Reduction Techniques in Stochastic Programming
