A review of scenario generation methods

DOI10.1504/IJCSM.2010.037446MaRDI QIDQ622835zbMATH OpenOpenAlexFDO

Authors Sovan Mitra, Nico Di Domenica

Publication date 4 February 2011

Published in International Journal of Computing Science and Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1504/ijcsm.2010.037446

zbMATH Keywords

decision makingscenario generationscenariosstochastic optimisationstochastic programminguncertainty

Mathematics Subject Classification ID

Stochastic programming (90C15)

Review text

Summary: Stochastic programming models provide a powerful paradigm for decision making under uncertainty. In these models the uncertainties are captured by scenario generation and so are crucial to the quality of solutions obtained. Presently there do not exist many literature reviews on scenario generation; this paper surveys them. We introduce the main concepts behind scenario generation, which are not just concerned with discretising methods. We review the main scenario generation classes and analyse the advantages and disadvantages. We also review new and less commonly known scenario generation methods, such as 'hybrid' methods.

Recommendations

• Evaluation of scenario generation methods for stochastic programming
• Scenario generation for stochastic programming and simulation: a modelling perspective
• Problem-based optimal scenario generation and reduction in stochastic programming
• Optimisation of stochastic programming by hidden Markov modelling based scenario generation
• Scenario optimization

Cited in

(16)

• Scenarios in decision-support systems: Generation, estimation, and choice
• A study on modeling the dynamics of statistically dependent returns
• Quality evaluation of scenario-tree generation methods for solving stochastic programming problems
• Scenario generation by selection from historical data
• Problem-based optimal scenario generation and reduction in stochastic programming
• Observational data-based quality assessment of scenario generation for stochastic programs
• A copula-based heuristic for scenario generation
• A diversity-based genetic algorithm for scenario generation
• Introduction to the Scenario Approach
• A New Scenario Reduction Method Based on Higher-Order Moments
• Scenario generation with distribution functions and correlations
• Genetic Algorithms for Scenario Generation in Stochastic Programming
• Evaluation of scenario generation methods for stochastic programming
• Knowledge-based scenario tree generation methods and application in multiperiod portfolio selection problem
• A co-evolutionary matheuristic for the car rental capacity-pricing stochastic problem
• Optimisation of stochastic programming by hidden Markov modelling based scenario generation

This page was built for publication: A review of scenario generation methods

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q622835)