Scenario generation in stochastic programming using principal component analysis based on moment-matching approach

DOI10.1007/S12597-019-00418-8OpenAlexW2981578047MaRDI QIDQ2307992FDOQ2307992

Authors: Isha Chopra, Dharmaraja Selvamuthu 

Publication date: 25 March 2020

Published in: Opsearch (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12597-019-00418-8

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zbMATH Keywords

principal component analysisscenario generationstochastic programmingmoment-matching

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

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• Generating moment matching scenarios using optimization techniques
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• Scenario tree generation and multi-asset financial optimization problems
• A new moment matching algorithm for sampling from partially specified symmetric distributions
• Robust optimization of mixed CVaR STARR ratio using copulas
• Multi-stage scenario generation by the combined moment matching and scenario reduction method
• A parsimonious model for generating arbitrage-free scenario trees

Cited In (1)

• Scenario generation for stochastic programming and simulation: a modelling perspective

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