Scenario generation with distribution functions and correlations
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Publication:5179076
zbMATH Open1308.90116MaRDI QIDQ5179076FDOQ5179076
Publication date: 19 March 2015
Full work available at URL: http://www.kybernetika.cz/content/2014/6/1049
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scenario generationstochastic programmingmoment matchingdistribution functionsservice network design
Measures of association (correlation, canonical correlation, etc.) (62H20) Order statistics; empirical distribution functions (62G30) Stochastic programming (90C15)
Cites Work
- Generating Scenario Trees for Multistage Decision Problems
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- A dynamic stochastic programming model for international portfolio management
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- Introduction to Stochastic Programming
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- A heuristic for moment-matching scenario generation
- Monte Carlo bounding techniques for determinig solution quality in stochastic programs
- Evaluation of scenario generation methods for stochastic programming
- Scenarios for multistage stochastic programs
- Scenario reduction in stochastic programming with respect to discrepancy distances
- Scenario tree generation for multiperiod financial optimization of optimal discretization
- Supply chain design under uncertainty using sample average approximation and dual decomposition
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