A note on scenario reduction for two-stage stochastic programs
From MaRDI portal
Publication:2467443
DOI10.1016/j.orl.2006.12.008zbMath1169.90420OpenAlexW2087583752MaRDI QIDQ2467443
Werner Römisch, Holger Heitsch
Publication date: 21 January 2008
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2006.12.008
Related Items (39)
A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem ⋮ Bidding in sequential electricity markets: the Nordic case ⋮ Scenario reduction in stochastic programming with respect to discrepancy distances ⋮ Unnamed Item ⋮ Data-driven project portfolio selection: decision-dependent stochastic programming formulations with reliability and time to market requirements ⋮ 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 ⋮ An approximation scheme for the Kantorovich-Rubinstein problem on compact spaces ⋮ Scenario grouping in a progressive hedging-based meta-heuristic for stochastic network design ⋮ Scenario construction and reduction applied to stochastic power generation expansion planning ⋮ Stability of multistage stochastic programs incorporating polyhedral risk measures ⋮ Semi-discrete optimal transport: hardness, regularization and numerical solution ⋮ Constructing branching trees of geostatistical simulations ⋮ A New Scenario Reduction Method Based on Higher-Order Moments ⋮ Dynamic generation of scenario trees ⋮ Scenario tree generation approaches using K-means and LP moment matching methods ⋮ 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 Tree Generation for Multi-stage Stochastic Programs ⋮ Adaptive Partition-Based Level Decomposition Methods for Solving Two-Stage Stochastic Programs with Fixed Recourse ⋮ Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization ⋮ Risk-averse two-stage stochastic programs in furniture plants ⋮ A Stochastic Integer Programming Approach to Air Traffic Scheduling and Operations ⋮ Quantitative stability of fully random mixed-integer two-stage stochastic programs ⋮ Efficient solution selection for two-stage stochastic programs ⋮ Scenario tree reduction for multistage stochastic programs ⋮ 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 ⋮ Regularized decomposition of large scale block-structured robust optimization problems ⋮ Liner ship bunkering and sailing speed planning with uncertain demand ⋮ Scenario Reduction Techniques in Stochastic Programming ⋮ Observational data-based quality assessment of scenario generation for stochastic programs ⋮ Generalized adaptive partition-based method for two-stage stochastic linear programs: geometric oracle and analysis ⋮ Tree approximation for discrete time stochastic processes: a process distance approach ⋮ 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 ⋮ Iterative scenario based reduction technique for stochastic optimization using conditional value-at-risk
Cites Work
- Unnamed Item
- Unnamed Item
- Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
- Scenario reduction in stochastic programming
- Scenario reduction algorithms in stochastic programming
- A constant-factor approximation algorithm for the \(k\)-median problem
- Stability of Multistage Stochastic Programs
- Approximation algorithms for metric facility location and k -Median problems using the primal-dual schema and Lagrangian relaxation
- Mass transhipment problems and ideal metrics
- Quantitative Stability in Stochastic Programming: The Method of Probability Metrics
- Convergence de la répartition empirique vers la répartition théorique
This page was built for publication: A note on scenario reduction for two-stage stochastic programs