Multistage K-means clustering for scenario tree construction

MaRDI QIDQ3562933zbMATH OpenFDO

Authors Kristina Šutienė, Dalius Makackas, Henrikas Pranevičius

Publication date 28 May 2010

Full work available at URL http://www.mii.lt/informatica/htm/INFO776.htm

zbMATH Keywords

scenario generationscenario treetime complexitymultistage \(K\)-means clustering

Mathematics Subject Classification ID

Problem solving in the context of artificial intelligence (heuristics, search strategies, etc.) (68T20) Nonnumerical algorithms (68W05) Stochastic analysis (60H99)

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Cited in

(6)

• Knowledge-based scenario tree generation methods and application in multiperiod portfolio selection problem
• A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem
• Clustering algorithms for scenario tree generation: application to natural hydro inflows
• Multi-stage portfolio selection problem with dynamic stochastic dominance constraints
• Scenario tree generation approaches using K-means and LP moment matching methods
• A multistage risk-averse stochastic programming model for personal savings accrual: the evidence from Lithuania

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Uses Software

• SMPS reader

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