Scenario generation by selection from historical data

DOI10.1007/S10287-021-00399-4MaRDI QIDQ2051173zbMATH OpenOpenAlexFDO

Authors Michal Kaut

Publication date 24 November 2021

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

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

scenario generationstochastic programming

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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Cites work

• A scalable solution framework for stochastic transmission and generation planning problems
• An empirical analysis of scenario generation methods for stochastic optimization
• Approximations for Probability Distributions and Stochastic Optimization Problems
• Dynamic generation of scenario trees
• Evaluation of scenario generation methods for stochastic programming
• Generating scenario trees for multistage decision problems
• scientific article; zbMATH DE number 3340881 (Why is no real title available?)
• Introduction to the theory of probabilistic functions and percentiles (value-at-risk)
• Least squares quantization in PCM
• Multistage stochastic optimization
• Pyomo -- optimization modeling in Python
• Scenario reduction algorithms in stochastic programming
• Scenario reduction in stochastic programming
• Scenario reduction revisited: fundamental limits and guarantees
• Scenario tree generation for multiperiod financial optimization of optimal discretization
• Scikit-learn: machine learning in Python

Cited in

(6)

• Observational data-based quality assessment of scenario generation for stochastic programs
• Handling of long-term storage in multi-horizon stochastic programs
• Decomposition methods for monotone two-time-scale stochastic optimization problems
• Multiperiod interval-based stochastic dominance with application to dynamic portfolios
• Stochastic production-distribution planning with transportation mode-dependent lead times
• Deep generative scenario search for stochastic optimization

Describes a project that uses

Uses Software

• Pyomo
• Scikit

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