A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem
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Cites work
- A note on scenario reduction for two-stage stochastic programs
- Clustering algorithms for scenario tree generation: application to natural hydro inflows
- Coherent measures of risk
- Discrepancy distances and scenario reduction in two-stage stochastic mixed-integer programming
- Dynamic stochastic programming for asset-liability management
- Evaluation of scenario generation methods for stochastic programming
- Finding Groups in Data
- Generating scenario trees: a parallel integrated simulation-optimization approach
- Horizon and stages in applications of stochastic programming in finance
- Multistage \(K\)-means clustering for scenario tree construction
- No-arbitrage conditions, scenario trees, and multi-asset financial optimization
- Optimal scenario tree reduction for stochastic streamflows in power generation planning problems
- Scenario reduction algorithms in stochastic programming
- Scenario reduction in stochastic programming
- Scenario reduction in stochastic programming with respect to discrepancy distances
- Scenario tree modeling for multistage stochastic programs
- Scenario tree reduction for multistage stochastic programs
- Scenarios for multistage stochastic programs
- Simulation and optimization approaches to scenario tree generation
- Stability and scenario trees for multistage stochastic programs
- Stability of Multistage Stochastic Programs
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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