Scenario generation for stochastic programming and simulation: a modelling perspective

DOI10.1093/IMAMAN/DPM027MaRDI QIDQ3605548zbMATH OpenOpenAlexFDO

Authors Nico Di Domenica, Gautam Mitra, Patrick Valente, Cormac Lucas

Publication date 24 February 2009

Published in IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imaman/dpm027

zbMATH Keywords

samplingscenario generationsimulationstochastic programming environment

Mathematics Subject Classification ID

Reasoning under uncertainty in the context of artificial intelligence (68T37) Management decision making, including multiple objectives (90B50) Stochastic programming (90C15) Decision theory (91B06)

Recommendations

• Evaluation of scenario generation methods for stochastic programming
• Optimisation of stochastic programming by hidden Markov modelling based scenario generation
• Problem-based optimal scenario generation and reduction in stochastic programming
• Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure
• The Scenario Generation Algorithm for Multistage Stochastic Linear Programming
• scientific article; zbMATH DE number 1258331
• scientific article; zbMATH DE number 1552226
• An empirical analysis of scenario generation methods for stochastic optimization
• Scenario Tree Generation for Multi-stage Stochastic Programs
• Scenario generation in stochastic programming using principal component analysis based on moment-matching approach

Cited in

(19)

• Scenarios in decision-support systems: Generation, estimation, and choice
• A study on modeling the dynamics of statistically dependent returns
• Parameter estimation in stochastic scenario generation systems
• On solving stochastic production planning problems via scenario modelling
• Problem-based optimal scenario generation and reduction in stochastic programming
• Observational data-based quality assessment of scenario generation for stochastic programs
• A computational study of a solver system for processing two-stage stochastic LPs with enhanced Benders decomposition
• Model development and solver demonstrations using randomized test problems
• Path-dependent scenario trees for multistage stochastic programmes in finance
• An empirical analysis of scenario generation methods for stochastic optimization
• A stochastic optimization model for real-time ambulance redeployment
• Genetic Algorithms for Scenario Generation in Stochastic Programming
• Evaluation of scenario generation methods for stochastic programming
• A review of scenario generation methods
• Global-local metamodel-assisted stochastic programming via simulation
• Multi-period descriptive sampling for scenario generation applied to the stochastic capacitated lot-sizing problem
• Bayesian assessment of profitability for products with highly uncertain demand based on multiple samples
• Scenario optimization
• Stochastic constraint programming: A scenario-based approach

Describes a project that uses

Uses Software

• CORO

This page was built for publication: Scenario generation for stochastic programming and simulation: a modelling perspective

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3605548)