Multi-stage stochastic optimization: the distance between stochastic scenario processes

DOI10.1007/s10287-013-0185-3zbMath1362.90306OpenAlexW2078728444MaRDI QIDQ2356157

Anna V. Timonina

Publication date: 29 July 2015

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

Full work available at URL: https://doi.org/10.1007/s10287-013-0185-3

zbMATH Keywords

stochastic programmingapproximationnested distributions

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (3)

Product assortment and space allocation strategies to attract loyal and non-loyal customers ⋮ Evaluation of scenario reduction algorithms with nested distance ⋮ Solution sensitivity-based scenario reduction for stochastic unit commitment

Uses Software

• QSIMVN

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Scenario tree modeling for multistage stochastic programs
• Asymptotics of optimal quantizers for some scalar distributions
• Extreme events, discounting and stochastic optimization
• Foundations of quantization for probability distributions
• A Distance For Multistage Stochastic Optimization Models
• Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces
• Tree Approximations of Dynamic Stochastic Programs
• Version-Independence and Nested Distributions in Multistage Stochastic Optimization
• Approximations for Probability Distributions and Stochastic Optimization Problems
• Improved bounds and simulation procedures on the value of the multivariate normal probability distribution function

This page was built for publication: Multi-stage stochastic optimization: the distance between stochastic scenario processes