Generating moment matching scenarios using optimization techniques

DOI10.1137/110858082MaRDI QIDQ2848181zbMATH OpenOpenAlexFDO

Authors Sanjay Mehrotra, Dávid Papp

Publication date 25 September 2013

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/39f4bd229ca9a8edb208c8d46d18ea725fe437aa

zbMATH Keywords

column generationconvex programmingcubaturemoment matchingscenario generationsemi-infinite programmingstatistical bounds

Mathematics Subject Classification ID

Numerical quadrature and cubature formulas (65D32) Linear programming (90C05) Stochastic programming (90C15) Convex programming (90C25) Semi-infinite programming (90C34) Applications of mathematical programming (90C90)

Recommendations

• An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
• A heuristic for moment-matching scenario generation
• Multi-stage scenario generation by the combined moment matching and scenario reduction method
• An empirical analysis of scenario generation methods for stochastic optimization
• Problem-based optimal scenario generation and reduction in stochastic programming

Cited in

(15)

• A robust unscented transformation for uncertain moments
• Multi-stage scenario generation by the combined moment matching and scenario reduction method
• A heuristic for moment-matching scenario generation
• Generation and application of multivariate polynomial quadrature rules
• Multi-stage portfolio selection problem with dynamic stochastic dominance constraints
• Scenario generation in stochastic programming using principal component analysis based on moment-matching approach
• Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models
• A new moment matching algorithm for sampling from partially specified symmetric distributions
• An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
• Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
• An empirical analysis of scenario generation methods for stochastic optimization
• Multi-period descriptive sampling for scenario generation applied to the stochastic capacitated lot-sizing problem
• Comparing algebraic cubature rules on spline curved elements
• A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
• Scenario generation for stochastic optimization problems via the sparse grid method

Describes a project that uses

Uses Software

• TESTPACK
• nwSpGr

This page was built for publication: Generating moment matching scenarios using optimization techniques

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2848181)