Multi-period forecasting and scenario generation with limited data

DOI10.1007/S10287-015-0230-5zbMath1319.90047OpenAlexW2065179975MaRDI QIDQ2355200

David L. Woodruff, Ignacio Rios, Roger J.-B. Wets

Publication date: 21 July 2015

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-015-0230-5

zbMATH Keywords

stochastic programmingscenariosscenario generationscenario treesforecast error distributions

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (5)

Predictive stochastic programming ⋮ Fusion of hard and soft information in nonparametric density estimation ⋮ Modeling uncertainty of expert elicitation for use in risk-based optimization ⋮ Observational data-based quality assessment of scenario generation for stochastic programs ⋮ Building a stochastic programming model from scratch: a harvesting management example

Cites Work

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• Supply chain design under uncertainty using sample average approximation and dual decomposition
• Monte Carlo bounding techniques for determinig solution quality in stochastic programs
• Stochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk Management
• Scenarios for multistage stochastic programs

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