An empirical analysis of scenario generation methods for stochastic optimization
From MaRDI portal
Recommendations
- Evaluation of scenario generation methods for stochastic programming
- Scenario generation for stochastic optimization problems via the sparse grid method
- Scenario generation for stochastic programming and simulation: a modelling perspective
- Multiscale stochastic optimization: modeling aspects and scenario generation
- Problem-based optimal scenario generation and reduction in stochastic programming
- Quality evaluation of scenario-tree generation methods for solving stochastic programming problems
- A New Scenario Decomposition Method for Large-Scale Stochastic Optimization
- scientific article; zbMATH DE number 4204118
- scientific article; zbMATH DE number 1258331
- scientific article; zbMATH DE number 1552226
Cites work
- scientific article; zbMATH DE number 53679 (Why is no real title available?)
- scientific article; zbMATH DE number 1241609 (Why is no real title available?)
- scientific article; zbMATH DE number 467196 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 1569102 (Why is no real title available?)
- scientific article; zbMATH DE number 2121076 (Why is no real title available?)
- scientific article; zbMATH DE number 3340881 (Why is no real title available?)
- L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
- A heuristic for moment-matching scenario generation
- A method for simulating non-normal distributions
- A note on scenario reduction for two-stage stochastic programs
- A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
- A space quantization method for numerical integration
- Algorithm 823
- Comparison of Sampling Methods for Dynamic Stochastic Programming
- Epi-convergent discretizations of stochastic programs via integration quadratures
- Financial scenario generation for stochastic multi-stage decision processes as facility location problems
- Foundations of quantization for probability distributions
- Generating moment matching scenarios using optimization techniques
- Introduction to Stochastic Programming
- Newsvendor solutions via conditional value-at-risk minimization
- Optimal Quantization for Finance: From Random Vectors to Stochastic Processes
- Optimal quadratic quantization for numerics: the Gaussian case
- Optimal scenario tree reduction for stochastic streamflows in power generation planning problems
- Scenario reduction algorithms in stochastic programming
- Scenario tree generation for multiperiod financial optimization of optimal discretization
- The empirical behavior of sampling methods for stochastic programming
- The impact of sampling methods on bias and variance in stochastic linear programs
- Variance Reduction and Objective Function Evaluation in Stochastic Linear Programs
- Variance reduction in sample approximations of stochastic programs
Cited in
(22)- Scenario-based learning for stochastic combinatorial optimisation
- A diversity-based genetic algorithm for scenario generation
- Uncertainty in maritime ship routing and scheduling: a literature review
- Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure
- Fostering long-term care planning in practice: extending objectives and advancing stochastic treatment within location-allocation modelling
- scientific article; zbMATH DE number 7733446 (Why is no real title available?)
- Scenario generation by selection from historical data
- Multi-period descriptive sampling for scenario generation applied to the stochastic capacitated lot-sizing problem
- Generating moment matching scenarios using optimization techniques
- Non-convex multiobjective optimization under uncertainty: a descent algorithm. Application to sandwich plate design and reliability
- A co-evolutionary matheuristic for the car rental capacity-pricing stochastic problem
- A unified framework for stochastic optimization
- Multiscale stochastic optimization: modeling aspects and scenario generation
- Scenario generation for stochastic programming and simulation: a modelling perspective
- A New Scenario Decomposition Method for Large-Scale Stochastic Optimization
- Decision-based scenario clustering for decision-making under uncertainty
- Importance sampling in stochastic optimization: an application to intertemporal portfolio choice
- A parallelized variable fixing process for solving multistage stochastic programs with progressive hedging
- A stochastic multiple gradient descent algorithm
- Scenario reduction revisited: fundamental limits and guarantees
- Optimal operation of a CHP plant participating in the German electricity balancing and day-ahead spot market
- Scenario generation for stochastic optimization problems via the sparse grid method
This page was built for publication: An empirical analysis of scenario generation methods for stochastic optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q323497)
