An empirical analysis of scenario generation methods for stochastic optimization

DOI10.1016/j.ejor.2016.05.021zbMath1346.90643MaRDI QIDQ323497

Nils Löhndorf

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://epub.wu.ac.at/5594/1/Loehndorf_2016_Scenario_generation.pdf

zbMATH Keywords

stochastic optimization; Monte Carlo methods; probability metrics; sample average approximation; scenario generation

Mathematics Subject Classification ID

90C15: Stochastic programming

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Uses Software

• Algorithm 823
• SSJ
• SUTIL

Cites Work

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