Scenario generation for stochastic optimization problems via the sparse grid method
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Cites work
- scientific article; zbMATH DE number 5797591 (Why is no real title available?)
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- scientific article; zbMATH DE number 3476465 (Why is no real title available?)
- scientific article; zbMATH DE number 1324223 (Why is no real title available?)
- scientific article; zbMATH DE number 1022658 (Why is no real title available?)
- scientific article; zbMATH DE number 1181255 (Why is no real title available?)
- scientific article; zbMATH DE number 872100 (Why is no real title available?)
- scientific article; zbMATH DE number 5488709 (Why is no real title available?)
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- Epi-convergent discretizations of stochastic programs via integration quadratures
- Epi‐consistency of convex stochastic programs
- Evaluation of scenario generation methods for stochastic programming
- Explicit cost bounds of algorithms for multivariate tensor product problems
- Fully symmetric interpolatory rules for multiple integrals over infinite regions with Gaussian weight
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- Monte Carlo and Quasi-Monte Carlo Methods 2004
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- Scenario reduction in stochastic programming
- Scenario tree generation for multiperiod financial optimization of optimal discretization
- Scenario tree modeling for multistage stochastic programs
- Scenarios for multistage stochastic programs
- Simple cubature formulas with high polynomial exactness
- Sparse grids
- Stieltjes Polynomials and Related Quadrature Rules
- The Optimum Addition of Points to Quadrature Formulae
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- The abridged nested decomposition method for multistage stochastic linear programs with relatively complete recourse
- The curse of dimensionality for numerical integration of smooth functions
Cited in
(8)- Adaptive sequential sample average approximation for solving two-stage stochastic linear programs
- A sparse grid approach to balance sheet risk measurement
- Problem-driven scenario clustering in stochastic optimization
- An empirical analysis of scenario generation methods for stochastic optimization
- From scenarios to conditional scenarios in two‐stage stochastic MILP problems
- Sample Size Estimates for Risk-Neutral Semilinear PDE-Constrained Optimization
- Fast scenario reduction by conditional scenarios in two-stage stochastic MILP problems
- Quality evaluation of scenario-tree generation methods for solving stochastic programming problems
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