Multi-stage scenario generation by the combined moment matching and scenario reduction method

DOI10.1016/J.ORL.2014.06.006zbMath1408.90214OpenAlexW1978098358MaRDI QIDQ1785257

Johan Oppen, David L. Woodruff, Uladzimir Rubasheuski

Publication date: 28 September 2018

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2014.06.006

zbMATH Keywords

moment matchingscenario generationmulti-stage stochastic programmingscenario reduction

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Stochastic programming (90C15)

Related Items (4)

A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems ⋮ Transmission network investment using incentive regulation: a disjunctive programming approach ⋮ Liner ship bunkering and sailing speed planning with uncertain demand ⋮ Scenario generation in stochastic programming using principal component analysis based on moment-matching approach

Uses Software

• Ipopt
• Pyomo

Cites Work

• Generating Scenario Trees for Multistage Decision Problems
• Scenario construction and reduction applied to stochastic power generation expansion planning
• Clustering algorithms for scenario tree generation: application to natural hydro inflows
• Scenario tree reduction for multistage stochastic programs
• Scenario tree generation and multi-asset financial optimization problems
• Financial scenario generation for stochastic multi-stage decision processes as facility location problems
• On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
• Stochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk Management

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