Scenario reduction algorithms in stochastic programming

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Conditioning of linear-quadratic two-stage stochastic optimization problems
Fast scenario reduction by conditional scenarios in two-stage stochastic MILP problems
Constructing branching trees of geostatistical simulations
Hedging market and credit risk in corporate bond portfolios
Integer constraints in a Cournot model -- an application to electricity market modelling
An eco-friendly closed-loop supply chain facing demand and carbon price uncertainty
Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
A probability metrics approach for reducing the bias of optimality gap estimators in two-stage stochastic linear programming
Scenario tree reduction algorithms combining quantitative stability with k-medoids clustering for large-scale risk-averse multi-stage stochastics programming problems
Stochastic optimization strategies applied to the OLYMPUS benchmark
Adaptive Partition-Based Level Decomposition Methods for Solving Two-Stage Stochastic Programs with Fixed Recourse
A stochastic programming approach to determine robust delivery profiles in area forwarding inbound logistics networks
Energy contracts management by stochastic programming techniques
Multistage stochastic optimization of a mono-site hydrogen infrastructure by decomposition techniques
Hedging uncertainty: approximation algorithms for stochastic optimization problems
Scenario approximation of robust and chance-constrained programs
Fostering long-term care planning in practice: extending objectives and advancing stochastic treatment within location-allocation modelling
Distributionally robust stochastic variational inequalities
Supply chain network design under uncertainty: a comprehensive review and future research directions
A stochastic programming approach for the optimal management of aggregated distributed energy resources
Impact of resource reconfiguration on the dairy supply chain resilience
Electricity market clearing with improved scheduling of stochastic production
Problem-based optimal scenario generation and reduction in stochastic programming
Optimal scenario reduction for one- and two-stage robust optimization with discrete uncertainty in the objective
No-arbitrage bounds for financial scenarios
Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization
Quantitative stability analysis for minimax distributionally robust risk optimization
Ensemble clustering for efficient robust optimization of naturally fractured reservoirs
Building a stochastic programming model from scratch: a harvesting management example
Frameworks and results in distributionally robust optimization
Dynamic determination of vessel speed and selection of bunkering ports for liner shipping under stochastic environment
Scenario Tree Generation for Multi-stage Stochastic Programs
On the number of stages in multistage stochastic programs
Tree approximation for discrete time stochastic processes: a process distance approach
Risk management for international portfolios with basket options: A multi-stage stochastic programming approach
Statistical robustness in utility preference robust optimization models
Observational data-based quality assessment of scenario generation for stochastic programs
Multi-item capacitated lot-sizing with demand uncertainty
Reduction of nonanticipativity constraints in multistage stochastic programming problems with endogenous and exogenous uncertainty
Combining sampling-based and scenario-based nested Benders decomposition methods: application to stochastic dual dynamic programming
Effective scenarios in multistage distributionally robust optimization with a focus on total variation distance
Stochastic programs with binary distributions: structural properties of scenario trees and algorithms
Minimizing the expected renewable resource costs in a project with stochastic resource availability
Large-scale unit commitment under uncertainty: an updated literature survey
Solution sensitivity-based scenario reduction for stochastic unit commitment
Importance sampling in stochastic optimization: an application to intertemporal portfolio choice
Scenario Reduction Techniques in Stochastic Programming
Comments on: ``A comparative study of time aggregation techniques in relation to power capacity-expansion modeling
On the scenario-tree optimal-value error for stochastic programming problems
Hybrid stochastic and robust optimization model for lot-sizing and scheduling problems under uncertainties
A multi-stage stochastic programming model for managing risk-optimal electricity portfolios
Algorithmic Aspects of Scenario-Based Multi-stage Decision Process Optimization
Knowledge-based scenario tree generation methods and application in multiperiod portfolio selection problem
A New Scenario Reduction Method Based on Higher-Order Moments
No-arbitrage conditions, scenario trees, and multi-asset financial optimization
Mortgage loan portfolio optimization using multi-stage stochastic programming
Scenario tree modeling for multistage stochastic programs
Corporate hedging: an answer to the ``how question
Short-term manpower planning for MRT carriage maintenance under mixed deterministic and stochastic demands
Epi-convergent discretizations of multistage stochastic programs via integration quadratures
Scenario-based, closed-loop model predictive control with application to emergency vehicle scheduling
From empirical observations to tree models for stochastic optimization: convergence properties
Risk and resilience-based optimal post-disruption restoration for critical infrastructures under uncertainty
Operational optimization for microgrid of buildings with distributed solar power and battery
Scenario tree generation and multi-asset financial optimization problems
Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods
A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem
Scenario reduction in stochastic programming
Maximizing the expected net present value in a project with uncertain cash flows
A cross-decomposition scheme with integrated primal-dual multi-cuts for two-stage stochastic programming investment planning problems
Total variation bounds on the expectation of periodic functions with applications to recourse approximations
Scenario reduction for stochastic programs with conditional value-at-risk
A Multistage Stochastic Programming Approach to the Optimal Surveillance and Control of the Emerald Ash Borer in Cities
Bidding in sequential electricity markets: the Nordic case
Scenario generation with distribution functions and correlations
Scenario-dominance to multi-stage stochastic lot-sizing and knapsack problems
A rolling horizon approach for stochastic mixed complementarity problems with endogenous learning: application to natural gas markets
An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information
Adaptive partitioning for chance-constrained problems with finite support
An efficient gradient projection method for stochastic optimal control problems
Integrating intermittent renewable wind generation -- a stochastic multi-market electricity model for the European electricity market
Adaptive discretization of convex multistage stochastic programs
Scenario reduction in stochastic programming with respect to discrepancy distances
A stochastic bi-objective location model for strategic reverse logistics
Approximations for Probability Distributions and Stochastic Optimization Problems
Constraint generation for risk averse two-stage stochastic programs
The stochastic guaranteed service model with recourse for multi-echelon warehouse management
Multiobjective optimization model considering demand response and uncertainty of generation side of microgrid
Discrepancy distances and scenario reduction in two-stage stochastic mixed-integer programming
Coupled learning enabled stochastic programming with endogenous uncertainty
A moment-matching method to generate arbitrage-free scenarios
Approximation algorithm with constant ratio for stochastic prize-collecting Steiner tree problem
Strategic foreign reserves risk management: Analytical framework
Model and solution method for mean-risk cost-based post-disruption restoration of interdependent critical infrastructure networks
Scenario tree generation approaches using K-means and LP moment matching methods
A Benders decomposition method for solving stochastic complementarity problems with an application in energy
Evaluation of scenario reduction algorithms with nested distance
Scenario tree reduction for multistage stochastic programs
Path-dependent scenario trees for multistage stochastic programmes in finance
scientific article; zbMATH DE number 1552226 (Why is no real title available?)

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