Optimization-Based Scenario Reduction for Data-Driven Two-Stage Stochastic Optimization

DOI10.1287/OPRE.2022.2265MaRDI QIDQ6152463zbMATH OpenOpenAlexWikidataFDO

Authors Dimitris Bertsimas, Nishanth Mundru

Publication date 12 March 2024

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://hdl.handle.net/1721.1/144108

zbMATH Keywords

cost functionWasserstein distancescenario reductiontwo-stage stochastic optimization

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

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(3)

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• Problem-driven scenario clustering in stochastic optimization
• Optimized Scenario Reduction: Solving Large-Scale Stochastic Programs with Quality Guarantees

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