Scenario generation by selection from historical data

DOI10.1007/s10287-021-00399-4OpenAlexW3169067735MaRDI QIDQ2051173

Michal Kaut

Publication date: 24 November 2021

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-021-00399-4

zbMATH Keywords

stochastic programmingscenario generation

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Uses Software

• Pyomo
• Scikit

Cites Work

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• Multistage Stochastic Optimization
• Approximations for Probability Distributions and Stochastic Optimization Problems
• Least squares quantization in PCM
• Pyomo -- optimization modeling in Python
• Scenario tree generation for multiperiod financial optimization of optimal discretization