Scenario generation with distribution functions and correlations

MaRDI QIDQ5179076zbMATH OpenFDO

Authors Michal Kaut, Arnt-Gunnar Lium

Publication date 19 March 2015

Full work available at URL http://www.kybernetika.cz/content/2014/6/1049

zbMATH Keywords

scenario generationstochastic programmingmoment matchingdistribution functionsservice network design

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Order statistics; empirical distribution functions (62G30) Stochastic programming (90C15)

Recommendations

• A heuristic for moment-matching scenario generation
• A copula-based heuristic for scenario generation
• Evaluation of scenario generation methods for stochastic programming
• Scenario Tree Generation for Multi-stage Stochastic Programs
• A review of scenario generation methods

Cites work

• scientific article; zbMATH DE number 663895 (Why is no real title available?)
• A dynamic stochastic programming model for international portfolio management
• A heuristic for moment-matching scenario generation
• Evaluation of scenario generation methods for stochastic programming
• Generating scenario trees for multistage decision problems
• Introduction to stochastic programming.
• Monte Carlo bounding techniques for determinig solution quality in stochastic programs
• No-arbitrage conditions, scenario trees, and multi-asset financial optimization
• Scenario reduction algorithms in stochastic programming
• Scenario reduction in stochastic programming
• Scenario reduction in stochastic programming with respect to discrepancy distances
• Scenario tree generation for multiperiod financial optimization of optimal discretization
• Scenario tree modeling for multistage stochastic programs
• Scenarios for multistage stochastic programs
• Stability of Multistage Stochastic Programs
• Supply chain design under uncertainty using sample average approximation and dual decomposition

Cited in

(5)

• Erratum to: ``A copula-based heuristic for scenario generation
• A copula-based heuristic for scenario generation
• Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure
• Modality for scenario analysis and maximum likelihood allocation
• A heuristic for moment-matching scenario generation

This page was built for publication: Scenario generation with distribution functions and correlations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5179076)