Dynamic generation of scenario trees
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Publication:902085
DOI10.1007/S10589-015-9758-0zbMATH Open1337.90047OpenAlexW803647133WikidataQ59254868 ScholiaQ59254868MaRDI QIDQ902085FDOQ902085
Authors: Georg Ch. Pflug, Alois Pichler 
Publication date: 7 January 2016
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/9094
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability measures on topological spaces (60B05) Stochastic programming (90C15)
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Cited In (46)
- Tree approximation for discrete time stochastic processes: a process distance approach
- Fundamental properties of process distances
- Stochastic short-term hydropower planning with inflow scenario trees
- An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems
- On the scenario-tree optimal-value error for stochastic programming problems
- The Scenario Generation Algorithm for Multistage Stochastic Linear Programming
- Risk management for forestry planning under uncertainty in demand and prices
- Estimating processes in adapted Wasserstein distance
- Generating scenario trees for multistage decision problems
- Scenario tree modeling for multistage stochastic programs
- All adapted topologies are equal
- On the time-consistent stochastic dominance risk averse measure for tactical supply chain planning under uncertainty
- From empirical observations to tree models for stochastic optimization: convergence properties
- Arbitrage conditions for electricity markets with production and storage
- Valuation and pricing of electricity delivery contracts: the producer's view
- On strategic multistage operational two-stage stochastic 0--1 optimization for the rapid transit network design problem
- Uncertainty in maritime ship routing and scheduling: a literature review
- Approximation of martingale couplings on the line in the adapted weak topology
- Stage-\(t\) scenario dominance for risk-averse multi-stage stochastic mixed-integer programs
- On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty
- A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
- Generating scenario trees: a parallel integrated simulation-optimization approach
- A scenario tree generation algorithm under MGARCH models
- Risk aversion in imperfect natural gas markets
- Clustering algorithms for scenario tree generation: application to natural hydro inflows
- One Dimensional Martingale Rearrangement Couplings
- Problem-driven scenario clustering in stochastic optimization
- Scenario tree generation for multiperiod financial optimization of optimal discretization
- Simulation and optimization approaches to scenario tree generation
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- Adapted topologies and higher rank signatures
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- Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization
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- Causal transport in discrete time and applications
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