Scenario Reduction Techniques in Stochastic Programming

DOI10.1007/978-3-642-04944-6_1MaRDI QIDQ3646114zbMATH OpenOpenAlexFDO

Authors Werner Römisch

Publication date 19 November 2009

Published in Stochastic Algorithms: Foundations and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-04944-6_1

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

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• The Scenario Generation Algorithm for Multistage Stochastic Linear Programming

Cited in

(28)

• Discrepancy distances and scenario reduction in two-stage stochastic mixed-integer programming
• Scenario reduction in stochastic programming
• Scenario reduction for stochastic programs with conditional value-at-risk
• Scenario reduction algorithms in stochastic programming
• Second-order scenario approximation and refinement in optimization under uncertainty
• Problem-based optimal scenario generation and reduction in stochastic programming
• Scenario reduction revisited: fundamental limits and guarantees
• Scenario tree reduction for multistage stochastic programs
• Iterative scenario based reduction technique for stochastic optimization using conditional value-at-risk
• A note on scenario reduction for two-stage stochastic programs
• On the computational complexity and generalization properties of multi-stage and stage-wise coupled scenario programs
• Optimization under uncertainty via random sampling of scenarios. I
• scientific article; zbMATH DE number 4089324 (Why is no real title available?)
• scientific article; zbMATH DE number 1258331 (Why is no real title available?)
• Variance Reduction and Objective Function Evaluation in Stochastic Linear Programs
• scientific article; zbMATH DE number 2092610 (Why is no real title available?)
• Fast scenario reduction by conditional scenarios in two-stage stochastic MILP problems
• A New Scenario Reduction Method Based on Higher-Order Moments
• A stochastic integer programming approach to air traffic scheduling and operations
• Calculation of discrepancy measures and applications
• Optimization under uncertainty via random sampling of scenarios. II
• Spatial aggregation in scenario tree reduction
• Problem-driven scenario clustering in stochastic optimization
• Optimized Scenario Reduction: Solving Large-Scale Stochastic Programs with Quality Guarantees
• A modified scenario bundling method for shortest path network interdiction under endogenous uncertainty
• Multi-horizon stochastic programming
• Scenario optimization
• Scenario reduction in stochastic programming with respect to discrepancy distances

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