A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem
DOI10.1007/S11750-013-0305-9zbMATH Open1336.90065OpenAlexW2021111715MaRDI QIDQ287624FDOQ287624
Authors: Patrizia Beraldi, Maria Elena Bruni 
Publication date: 23 May 2016
Published in: Top (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11750-013-0305-9
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Applications of mathematical programming (90C90) Portfolio theory (91G10) Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31)
Cites Work
- Finding Groups in Data
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- Scenario reduction algorithms in stochastic programming
- Scenario tree reduction for multistage stochastic programs
- A note on scenario reduction for two-stage stochastic programs
- Stability of Multistage Stochastic Programs
- No-arbitrage conditions, scenario trees, and multi-asset financial optimization
- Discrepancy distances and scenario reduction in two-stage stochastic mixed-integer programming
- Dynamic stochastic programming for asset-liability management
- Horizon and stages in applications of stochastic programming in finance
- Stability and scenario trees for multistage stochastic programs
- Optimal scenario tree reduction for stochastic streamflows in power generation planning problems
- Multistage \(K\)-means clustering for scenario tree construction
- Evaluation of scenario generation methods for stochastic programming
- Scenarios for multistage stochastic programs
- Scenario reduction in stochastic programming with respect to discrepancy distances
- Generating scenario trees: a parallel integrated simulation-optimization approach
- Clustering algorithms for scenario tree generation: application to natural hydro inflows
- Simulation and optimization approaches to scenario tree generation
Cited In (9)
- Enhancing explainability of stochastic programming solutions via scenario and recourse reduction
- A New Scenario Reduction Method Based on Higher-Order Moments
- Multistage stochastic demand-side management for price-making major consumers of electricity in a co-optimized energy and reserve market
- Medium range optimization of copper extraction planning under uncertainty in future copper prices
- Evaluation of scenario reduction algorithms with nested distance
- Clustering and portfolio selection problems: a unified framework
- A parallelized variable fixing process for solving multistage stochastic programs with progressive hedging
- Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization
- Investment models based on clustered scenario trees
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