Quality evaluation of scenario-tree generation methods for solving stochastic programming problems

DOI10.1007/S10287-017-0279-4MaRDI QIDQ1789621zbMATH OpenOpenAlexFDO

Authors Julien Keutchayan, Michel Gendreau, Antoine Saucier

Publication date 10 October 2018

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10287-017-0279-4

zbMATH Keywords

stochastic programmingscenario treeout-of-sample evaluationdecision policy

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Stochastic programming (90C15)

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Cites work

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• Variance reduction via lattice rules

Cited in

(9)

• On the scenario-tree optimal-value error for stochastic programming problems
• On the safe side of stochastic programming: bounds and approximations
• Optimized operating rules for short-term hydropower planning in a stochastic environment
• Generating scenario trees: a parallel integrated simulation-optimization approach
• Problem-driven scenario clustering in stochastic optimization
• An empirical analysis of scenario generation methods for stochastic optimization
• Evaluation of scenario generation methods for stochastic programming
• Comment on “Generating Scenario Trees for Multistage Decision Problems”
• Scenario Tree Generation for Multi-stage Stochastic Programs

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