Quality evaluation of scenario-tree generation methods for solving stochastic programming problems
From MaRDI portal
Publication:1789621
DOI10.1007/s10287-017-0279-4zbMath1397.90215OpenAlexW2616838035MaRDI QIDQ1789621
Michel Gendreau, Julien Keutchayan, Antoine Saucier
Publication date: 10 October 2018
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-017-0279-4
Related Items
On the safe side of stochastic programming: bounds and approximations ⋮ Problem-driven scenario clustering in stochastic optimization ⋮ On the Scenario-Tree Optimal-Value Error for Stochastic Programming Problems ⋮ Optimized operating rules for short-term hydropower planning in a stochastic environment
Cites Work
- Generating Scenario Trees for Multistage Decision Problems
- A comment on ``Computational complexity of stochastic programming problems
- Dynamic generation of scenario trees
- Scenario generation for stochastic optimization problems via the sparse grid method
- Scenario tree modeling for multistage stochastic programs
- Continuous versus measurable recourse in N-stage stochastic programming
- Bound-based approximations in multistage stochastic programming: nonanticipativity aggregation
- A simulation-based approach to two-stage stochastic programming with recourse
- Monte Carlo bounding techniques for determinig solution quality in stochastic programs
- Barycentric scenario trees in convex multistage stochastic programming
- Scenario reduction in stochastic programming
- Stochastic programming with integer variables
- A heuristic for moment-matching scenario generation
- Quasi-Monte Carlo methods for linear two-stage stochastic programming problems
- Variance reduction in sample approximations of stochastic programs
- Computational complexity of stochastic programming problems
- A Distance For Multistage Stochastic Optimization Models
- Variance Reduction via Lattice Rules
- Numerical evaluation of approximation methods in stochastic programming
- Introduction to Stochastic Programming
- Constructing Randomly Shifted Lattice Rules in Weighted Sobolev Spaces
- Epi-Convergent Discretizations of Multistage Stochastic Programs
- Scenario tree generation for multiperiod financial optimization of optimal discretization
- Scenario generation and stochastic programming models for asset liability management
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item