Evaluation of scenario generation methods for stochastic programming
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Cited in
(only showing first 100 items - show all)- On the effectiveness of scenario generation techniques in single-period portfolio optimization
- Scenario tree modeling for multistage stochastic programs
- Valuation of electricity swing options by multistage stochastic programming
- Convergent bounds for stochastic programs with expected value constraints
- Stochastic second-order cone programming in mobile ad hoc networks
- Models for robust tactical planning in multi-stage production systems with uncertain demands
- Scenarios in decision-support systems: Generation, estimation, and choice
- A stochastic programming model for a tactical solid waste management problem
- A stochastic programming approach for the optimal management of aggregated distributed energy resources
- Supply chain network design under uncertainty: a comprehensive review and future research directions
- Assessing policy quality in a multistage stochastic program for long-term hydrothermal scheduling
- Bridging \(k\)-sum and CVaR optimization in MILP
- Stochastic multi-commodity network design: the quality of deterministic solutions
- Stochastic optimization models for a bike-sharing problem with transshipment
- A hybrid heuristic for a stochastic production-inventory-routing problem
- Two-stage stochastic modeling of transportation outsourcing plans for transshipment centers
- Comment on ``An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
- Stochastic short-term hydropower planning with inflow scenario trees
- Stochastic survivable network design problems: theory and practice
- A study on modeling the dynamics of statistically dependent returns
- Solution sensitivity-based scenario reduction for stochastic unit commitment
- A scenario-based framework for supply planning under uncertainty: stochastic programming versus robust optimization approaches
- Quality evaluation of scenario-tree generation methods for solving stochastic programming problems
- Parameter estimation in stochastic scenario generation systems
- A heuristic for moment-matching scenario generation
- Single-commodity network design with random edge capacities
- A stochastic model for the daily coordination of pumped storage hydro plants and wind power plants
- HMM based scenario generation for an investment optimisation problem
- Energy contracts management by stochastic programming techniques
- Maximizing performance with an eye on the finances: a chance-constrained model for football transfer market decisions
- Transportation outsourcing problems considering feasible probabilities under stochastic demands
- Soft clustering-based scenario bundling for a progressive hedging heuristic in stochastic service network design
- A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure
- Multi-stage stochastic programming models for provisioning cloud computing resources
- Gas storage valuation in incomplete markets
- Scenario generation by selection from historical data
- A parallelized variable fixing process for solving multistage stochastic programs with progressive hedging
- Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure
- Problem-based optimal scenario generation and reduction in stochastic programming
- A stability result for linear Markovian stochastic optimization problems
- Scenario tree construction driven by heuristic solutions of the optimization problem
- Variance reduction for sequential sampling in stochastic programming
- A multi-objective multi-period stochastic programming model for public debt management
- Stochastic optimization models for a single-sink transportation problem
- A multistage risk-averse stochastic programming model for personal savings accrual: the evidence from Lithuania
- Scenario generation in stochastic programming using principal component analysis based on moment-matching approach
- Observational data-based quality assessment of scenario generation for stochastic programs
- Comments on: ``A comparative study of time aggregation techniques in relation to power capacity-expansion modeling
- Dispatch planning using newsvendor dual problems and occupation times: application to hydropower
- A copula-based heuristic for scenario generation
- Multi-period forecasting and scenario generation with limited data
- An improved averaged two-replication procedure with Latin hypercube sampling
- Short-term manpower planning for MRT carriage maintenance under mixed deterministic and stochastic demands
- A mixed R{\&}D projects and securities portfolio selection model
- Aggregation and discretization in multistage stochastic programming
- A new moment matching algorithm for sampling from partially specified symmetric distributions
- Lagrange dual bound computation for stochastic service network design
- Optimal chance-constrained pension fund management through dynamic stochastic control
- Multistage portfolio optimization with stocks and options
- SMART: A stochastic multiscale model for the analysis of energy resources, technology, and policy
- 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
- Obtaining lower bounds from the progressive hedging algorithm for stochastic mixed-integer programs
- Stochastic optimization of electricity portfolios: scenario tree modeling and risk management
- An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
- A moment-matching method to generate arbitrage-free scenarios
- Hybrid robust and stochastic optimization for closed-loop supply chain network design using accelerated Benders decomposition
- A framework for crude oil scheduling in an integrated terminal-refinery system under supply uncertainty
- Logistics capacity planning: a stochastic bin packing formulation and a progressive hedging meta-heuristic
- Forward thresholds for operation of pumped-storage stations in the real-time energy market
- An empirical analysis of scenario generation methods for stochastic optimization
- A new multi-criteria scenario-based solution approach for stochastic forward/reverse supply chain network design
- Perspectives of approximate dynamic programming
- A maritime inventory routing problem with stochastic sailing and port times
- Scenario construction and reduction applied to stochastic power generation expansion planning
- An interactive approach to stochastic programming-based portfolio optimization
- Scenario generation for stochastic programming and simulation: a modelling perspective
- Single source single-commodity stochastic network design
- Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules
- Scenario tree generation approaches using K-means and LP moment matching methods
- Tactical portfolio planning in the natural gas supply chain
- Comparison of Sampling Methods for Dynamic Stochastic Programming
- Stochastic programming approach for energy management in electric microgrids
- The capacitated transshipment location problem with stochastic handling utilities at the facilities
- Solution approaches for the stochastic capacitated traveling salesmen location problem with recourse
- Building a stochastic programming model from scratch: a harvesting management example
- A parsimonious model for generating arbitrage-free scenario trees
- The value and cost of more stages in stochastic programming: a statistical analysis on a set of portfolio choice problems
- Coupled learning enabled stochastic programming with endogenous uncertainty
- Investigation of multistage stochastic portfolio optimization problems
- A New Scenario Reduction Method Based on Higher-Order Moments
- Scenario Generation for Single-Period Portfolio Selection Problems with Tail Risk Measures: Coping with High Dimensions and Integer Variables
- Stochastic network design for planning scheduled transportation services: the value of deterministic solutions
- Vehicle routing with space- and time-correlated stochastic travel times: evaluating the objective function
- Scenario generation with distribution functions and correlations
- Genetic Algorithms for Scenario Generation in Stochastic Programming
- Day-ahead market bidding for a Nordic hydropower producer: taking the Elbas market into account
- A dual-level stochastic fleet size and mix problem for offshore wind farm maintenance operations
- On the safe side of stochastic programming: bounds and approximations
- Capacity reservation for humanitarian relief: a logic-based benders decomposition method with subgradient cut
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