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

DOI10.1007/S12597-019-00418-8MaRDI QIDQ2307992zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

principal component analysisscenario generationstochastic programmingmoment-matching

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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Cites work

• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• A heuristic for moment-matching scenario generation
• A method for simulating non-normal distributions
• A new moment matching algorithm for sampling from partially specified symmetric distributions
• A parsimonious model for generating arbitrage-free scenario trees
• A stochastic programming approach to multicriteria portfolio optimization
• Evaluation of scenario generation methods for stochastic programming
• Financial scenario generation for stochastic multi-stage decision processes as facility location problems
• Formulation of the Russell-Yasuda Kasai financial planning model
• Generating moment matching scenarios using optimization techniques
• Generating scenario trees for multistage decision problems
• Multi-stage scenario generation by the combined moment matching and scenario reduction method
• No-arbitrage conditions, scenario trees, and multi-asset financial optimization
• Practical financial optimization. Decision making for financial engineers. Foreword by Harry M. Markowitz
• Principal component analysis.
• Robust optimization of mixed CVaR STARR ratio using copulas
• Scenario tree generation and multi-asset financial optimization problems
• Scenario tree reduction for multistage stochastic programs
• Stochastic Network Programming for Financial Planning Problems

Cited in

(2)

• Scenario generation by selection from historical data
• Scenario generation for stochastic programming and simulation: a modelling perspective

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