Dynamic generation of scenario trees
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Cites work
- scientific article; zbMATH DE number 4063438 (Why is no real title available?)
- scientific article; zbMATH DE number 49698 (Why is no real title available?)
- scientific article; zbMATH DE number 1005357 (Why is no real title available?)
- scientific article; zbMATH DE number 1909499 (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?)
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- A distance for multistage stochastic optimization models
- A note on scenario reduction for two-stage stochastic programs
- A space quantization method for numerical integration
- Aggregation and discretization in multistage stochastic programming
- Epi-convergent discretizations of multistage stochastic programs via integration quadratures
- Epi-convergent discretizations of stochastic programs via integration quadratures
- Foundations of quantization for probability distributions
- Generalized bounds for convex multistage stochastic programs.
- Generating scenario trees for multistage decision problems
- Inference of statistical bounds for multistage stochastic programming problems
- Multistage stochastic optimization
- Numerical study of discretizations of multistage stochastic programs
- On Stability of Multistage Stochastic Programs
- Optimal and better transport plans
- Polar factorization and monotone rearrangement of vector‐valued functions
- Probability with Martingales
- Scenario Tree Generation for Multi-stage Stochastic Programs
- Scenario reduction algorithms in stochastic programming
- Scenario reduction in stochastic programming
- Scenario tree generation for multiperiod financial optimization of optimal discretization
- Scenario tree modeling for multistage stochastic programs
- Scenario tree reduction for multistage stochastic programs
- Tree Approximations of Dynamic Stochastic Programs
- Version-independence and nested distributions in multistage stochastic optimization
Cited in
(46)- On solving large-scale multistage stochastic optimization problems with a new specialized interior-point approach
- Causal transport in discrete time and applications
- Tree approximation for discrete time stochastic processes: a process distance approach
- Fundamental properties of process distances
- Stochastic short-term hydropower planning with inflow scenario trees
- On the scenario-tree optimal-value error for stochastic programming problems
- An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems
- Risk management for forestry planning under uncertainty in demand and prices
- The Scenario Generation Algorithm for Multistage Stochastic Linear Programming
- Estimating processes in adapted Wasserstein distance
- Generating scenario trees for multistage decision problems
- Scenario tree modeling for multistage stochastic programs
- All adapted topologies are equal
- On the time-consistent stochastic dominance risk averse measure for tactical supply chain planning under uncertainty
- From empirical observations to tree models for stochastic optimization: convergence properties
- Arbitrage conditions for electricity markets with production and storage
- On strategic multistage operational two-stage stochastic 0--1 optimization for the rapid transit network design problem
- Valuation and pricing of electricity delivery contracts: the producer's view
- Approximation of martingale couplings on the line in the adapted weak topology
- Uncertainty in maritime ship routing and scheduling: a literature review
- Stage-\(t\) scenario dominance for risk-averse multi-stage stochastic mixed-integer programs
- On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty
- A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
- Generating scenario trees: a parallel integrated simulation-optimization approach
- Risk aversion in imperfect natural gas markets
- Clustering algorithms for scenario tree generation: application to natural hydro inflows
- Simulation and optimization approaches to scenario tree generation
- A scenario tree generation algorithm under MGARCH models
- One Dimensional Martingale Rearrangement Couplings
- Problem-driven scenario clustering in stochastic optimization
- Scenario tree generation for multiperiod financial optimization of optimal discretization
- Multi-stage portfolio selection problem with dynamic stochastic dominance constraints
- Scenario tree generation approaches using K-means and LP moment matching methods
- A vector quantization approach to scenario generation for stochastic NMPC
- A Bayesian approach to data-driven multi-stage stochastic optimization
- Nonlinear stochastic programming-with a case study in continuous switching
- Convergence of adapted empirical measures on \(\mathbb{R}^d\)
- Multistage \(K\)-means clustering for scenario tree construction
- Scenario generation by selection from historical data
- Two new historical data based scenario tree generation methods
- Scenario tree generation for multi-stage stochastic problems
- Scenario Tree Approximation and Risk Aversion Strategies for Stochastic Optimization of Electricity Production and Trading
- Tree Approximations of Dynamic Stochastic Programs
- Adapted topologies and higher rank signatures
- Quality evaluation of scenario-tree generation methods for solving stochastic programming problems
- Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization
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