Multi-period forecasting and scenario generation with limited data

DOI10.1007/S10287-015-0230-5MaRDI QIDQ2355200zbMATH OpenOpenAlexFDO

Authors I. Rios, Roger J.-B. Wets, David L. Woodruff

Publication date 21 July 2015

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

Full work available at URL https://doi.org/10.1007/s10287-015-0230-5

zbMATH Keywords

forecast error distributionsscenario generationscenario treesscenariosstochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

• Erratum to: ``Multivariate epi-splines and evolving function identification problems
• Evaluation of scenario generation methods for stochastic programming
• Fusion of hard and soft information in nonparametric density estimation
• Generating scenario trees for multistage decision problems
• scientific article; zbMATH DE number 5991596 (Why is no real title available?)
• scientific article; zbMATH DE number 2121076 (Why is no real title available?)
• Monte Carlo bounding techniques for determinig solution quality in stochastic programs
• Scenario tree generation approaches using K-means and LP moment matching methods
• Scenarios for multistage stochastic programs
• Stochastic optimization of electricity portfolios: scenario tree modeling and risk management
• Supply chain design under uncertainty using sample average approximation and dual decomposition

Cited in

(7)

• Predictive stochastic programming
• Modeling uncertainty of expert elicitation for use in risk-based optimization
• Observational data-based quality assessment of scenario generation for stochastic programs
• Fusion of hard and soft information in nonparametric density estimation
• Building a stochastic programming model from scratch: a harvesting management example
• Tree approximation of scenario processes for multistage stochastic optimization: algorithms and fast implementations
• A survey of contextual optimization methods for decision-making under uncertainty

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