Scenario reduction algorithms in stochastic programming
From MaRDI portal
Publication:1866130
DOI10.1023/A:1021805924152zbMath1094.90024OpenAlexW1570220941MaRDI QIDQ1866130
Werner Römisch, Holger Heitsch
Publication date: 3 April 2003
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1021805924152
Related Items (only showing first 100 items - show all)
Natural gas production network infrastructure development under uncertainty ⋮ On the number of stages in multistage stochastic programs ⋮ Corporate hedging: an answer to the ``how question ⋮ A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem ⋮ Total variation bounds on the expectation of periodic functions with applications to recourse approximations ⋮ A cross-decomposition scheme with integrated primal-dual multi-cuts for two-stage stochastic programming investment planning problems ⋮ Bidding in sequential electricity markets: the Nordic case ⋮ Integrating intermittent renewable wind generation -- a stochastic multi-market electricity model for the European electricity market ⋮ BFC-MSMIP: an exact branch-and-fix coordination approach for solving multistage stochastic mixed 0-1 problems ⋮ An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information ⋮ A decomposition-based crash-start for stochastic programming ⋮ Scenario reduction in stochastic programming with respect to discrepancy distances ⋮ Particle methods for stochastic optimal control problems ⋮ A moment-matching method to generate arbitrage-free scenarios ⋮ Model and solution method for mean-risk cost-based post-disruption restoration of interdependent critical infrastructure networks ⋮ A framework for crude oil scheduling in an integrated terminal-refinery system under supply uncertainty ⋮ An empirical analysis of scenario generation methods for stochastic optimization ⋮ Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods ⋮ Scenario reduction for stochastic programs with conditional value-at-risk ⋮ Scenario construction and reduction applied to stochastic power generation expansion planning ⋮ A stochastic programming approach for the optimal management of aggregated distributed energy resources ⋮ A rolling horizon approach for stochastic mixed complementarity problems with endogenous learning: application to natural gas markets ⋮ Commitment and dispatch of heat and power units via affinely adjustable robust optimization ⋮ Frameworks and results in distributionally robust optimization ⋮ Approximation algorithm with constant ratio for stochastic prize-collecting Steiner tree problem ⋮ Options strategies for international portfolios with overall risk management via multi-stage stochastic programming ⋮ Hybrid stochastic and robust optimization model for lot-sizing and scheduling problems under uncertainties ⋮ A stochastic bi-objective location model for strategic reverse logistics ⋮ Importance sampling in stochastic optimization: an application to intertemporal portfolio choice ⋮ Energy contracts management by stochastic programming techniques ⋮ Constructing branching trees of geostatistical simulations ⋮ An eco-friendly closed-loop supply chain facing demand and carbon price uncertainty ⋮ An Efficient Gradient Projection Method for Stochastic Optimal Control Problems ⋮ Supply chain network design under uncertainty: a comprehensive review and future research directions ⋮ Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules ⋮ Dynamic generation of scenario trees ⋮ Short-term manpower planning for MRT carriage maintenance under mixed deterministic and stochastic demands ⋮ A probability metrics approach for reducing the bias of optimality gap estimators in two-stage stochastic linear programming ⋮ Scenario tree generation approaches using K-means and LP moment matching methods ⋮ A Multi-stage Stochastic Programming Model for Managing Risk-optimal Electricity Portfolios ⋮ Stochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk Management ⋮ Multiobjective optimization model considering demand response and uncertainty of generation side of microgrid ⋮ Ensemble clustering for efficient robust optimization of naturally fractured reservoirs ⋮ Hedging Market and Credit Risk in Corporate Bond Portfolios ⋮ Step decision rules for multistage stochastic programming: a heuristic approach ⋮ Medium term scheduling of a hydro-thermal system using stochastic model predictive control ⋮ Multi-item capacitated lot-sizing with demand uncertainty ⋮ Stochastic optimization strategies applied to the OLYMPUS benchmark ⋮ Evaluation of scenario reduction algorithms with nested distance ⋮ Scenario tree generation and multi-asset financial optimization problems ⋮ Risk-averse two-stage stochastic programs in furniture plants ⋮ A stochastic programming approach to determine robust delivery profiles in area forwarding inbound logistics networks ⋮ Dynamic determination of vessel speed and selection of bunkering ports for liner shipping under stochastic environment ⋮ Large-scale unit commitment under uncertainty: an updated literature survey ⋮ Conditioning of linear-quadratic two-stage stochastic optimization problems ⋮ Statistical robustness in utility preference robust optimization models ⋮ A dynamic stochastic programming model for international portfolio management ⋮ Risk and resilience-based optimal post-disruption restoration for critical infrastructures under uncertainty ⋮ Maximizing the expected net present value in a project with uncertain cash flows ⋮ A note on scenario reduction for two-stage stochastic programs ⋮ The stochastic guaranteed service model with recourse for multi-echelon warehouse management ⋮ Aggregation and discretization in multistage stochastic programming ⋮ Epi-convergent discretizations of multistage stochastic programs via integration quadratures ⋮ Strategic foreign reserves risk management: Analytical framework ⋮ Financial scenario generation for stochastic multi-stage decision processes as facility location problems ⋮ Electricity market clearing with improved scheduling of stochastic production ⋮ A Benders decomposition method for solving stochastic complementarity problems with an application in energy ⋮ No-arbitrage conditions, scenario trees, and multi-asset financial optimization ⋮ Hedging uncertainty: approximation algorithms for stochastic optimization problems ⋮ Scenario tree reduction for multistage stochastic programs ⋮ A stochastic programming approach for multi-period portfolio optimization ⋮ Constraint generation for risk averse two-stage stochastic programs ⋮ Fostering long-term care planning in practice: extending objectives and advancing stochastic treatment within location-allocation modelling ⋮ Solution sensitivity-based scenario reduction for stochastic unit commitment ⋮ Adaptive discretization of convex multistage stochastic programs ⋮ Liner ship bunkering and sailing speed planning with uncertain demand ⋮ Scenario generation by selection from historical data ⋮ Scenario tree modeling for multistage stochastic programs ⋮ Mortgage loan portfolio optimization using multi-stage stochastic programming ⋮ From Empirical Observations to Tree Models for Stochastic Optimization: Convergence Properties ⋮ On the Scenario-Tree Optimal-Value Error for Stochastic Programming Problems ⋮ Scenario Reduction Techniques in Stochastic Programming ⋮ Convergent bounds for stochastic programs with expected value constraints ⋮ Observational data-based quality assessment of scenario generation for stochastic programs ⋮ Maximizing the net present value of a project under uncertainty ⋮ Solving stochastic complementarity problems in energy market modeling using scenario reduction ⋮ Comments on: ``A comparative study of time aggregation techniques in relation to power capacity-expansion modeling ⋮ Scenario-based, closed-loop model predictive control with application to emergency vehicle scheduling ⋮ Large-scale unit commitment under uncertainty ⋮ Path-dependent scenario trees for multistage stochastic programmes in finance ⋮ Tree approximation for discrete time stochastic processes: a process distance approach ⋮ Risk management for international portfolios with basket options: A multi-stage stochastic programming approach ⋮ No-arbitrage bounds for financial scenarios ⋮ Quantitative stability analysis for minimax distributionally robust risk optimization ⋮ Problem-based optimal scenario generation and reduction in stochastic programming ⋮ Scenario reduction revisited: fundamental limits and guarantees ⋮ A stability result for linear Markovian stochastic optimization problems ⋮ Iterative scenario based reduction technique for stochastic optimization using conditional value-at-risk ⋮ Combining sampling-based and scenario-based nested Benders decomposition methods: application to stochastic dual dynamic programming ⋮ Operational Optimization for Microgrid of Buildings with Distributed Solar Power and Battery
This page was built for publication: Scenario reduction algorithms in stochastic programming