Generating scenario trees: a parallel integrated simulation-optimization approach

DOI10.1016/J.CAM.2009.10.017MaRDI QIDQ847184zbMATH OpenOpenAlexFDO

Authors Patrizia Beraldi, Francesco de Simone, Antonio Violi

Publication date 12 February 2010

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2009.10.017

zbMATH Keywords

simulationparallel algorithmsmoment matchingscenario tree generation

Mathematics Subject Classification ID

Programming involving graphs or networks (90C35) Parallel algorithms in computer science (68W10)

Recommendations

• Simulation and optimization approaches to scenario tree generation
• Scenario Tree Generation for Multi-stage Stochastic Programs
• Generating scenario trees for multistage decision problems
• Scenario tree generation for multi-stage stochastic problems
• Scenario tree construction driven by heuristic solutions of the optimization problem
• Quality evaluation of scenario-tree generation methods for solving stochastic programming problems
• Dynamic generation of scenario trees
• Scenario tree generation for multiperiod financial optimization of optimal discretization
• Scenario tree modeling for multistage stochastic programs
• A scenario tree generation algorithm under MGARCH models

Cites work

• A heuristic for moment-matching scenario generation
• A method for simulating non-normal distributions
• An approximate method for sampling corrrelated random variables from partially-specified distributions.
• Coherent measures of risk
• Generating scenario trees for multistage decision problems
• Optimization for simulation: theory vs. practice
• Portfolio and investment risk analysis on global grids
• Scenarios for multistage stochastic programs
• Simulating multivariate nonnormal distributions
• Simulation and optimization approaches to scenario tree generation

Cited in

(10)

• Dealing with complex transaction costs in portfolio management
• A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem
• Optimisation of stochastic programming by hidden Markov modelling based scenario generation
• Simulation and optimization approaches to scenario tree generation
• Scenario tree generation for multiperiod financial optimization of optimal discretization
• Risk-averse two-stage stochastic programs in furniture plants
• Comment on “Generating Scenario Trees for Multistage Decision Problems”
• A stochastic programming approach for the optimal management of aggregated distributed energy resources
• Effective location models for sorting recyclables in public management
• Multiperiod portfolio investment using stochastic programming with conditional value at risk

Describes a project that uses

Uses Software

• MPI
• OptiRisk

This page was built for publication: Generating scenario trees: a parallel integrated simulation-optimization approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q847184)