Scenario Generation Methods that Replicate Crossing Times in Spatially Distributed Stochastic Systems

DOI10.1137/17M1120555MaRDI QIDQ3176237zbMATH OpenOpenAlexFDO

Authors Joseph Durante, Raj Patel, Warren Powell

Publication date 19 July 2018

Published in SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/17m1120555

zbMATH Keywords

multivariate processesscenario generationtime series modelscrossing times

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Applications of statistics in engineering and industry; control charts (62P30) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Cites work

• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A new look at the statistical model identification
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• Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
• Generalized autoregressive conditional heteroscedasticity
• Hidden semi-Markov models
• Lectures on stochastic programming. Modeling and theory.
• Level-crossing problems for random processes
• Multi-stage stochastic optimization applied to energy planning
• Multiarea stochastic unit commitment for high wind penetration in a transmission constrained network
• On the Distribution of the Two-Sample Cramer-von Mises Criterion
• Risk neutral and risk averse stochastic dual dynamic programming method
• Scenario reduction in stochastic programming
• Scenario tree modeling for multistage stochastic programs
• Sequentially constrained Monte Carlo
• The Kolmogorov-Smirnov, Cramer-von Mises Tests

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