Scenario reduction algorithms in stochastic programming

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Scenario construction and reduction applied to stochastic power generation expansion planning

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Particle methods for stochastic optimal control problems
No-arbitrage bounds for financial scenarios
Scenario reduction in stochastic programming with respect to discrepancy distances
Natural gas production network infrastructure development under uncertainty
Commitment and dispatch of heat and power units via affinely adjustable robust optimization
Electricity market clearing with improved scheduling of stochastic production
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
A stochastic bi-objective location model for strategic reverse logistics
Discrepancy distances and scenario reduction in two-stage stochastic mixed-integer programming
Fostering long-term care planning in practice: extending objectives and advancing stochastic treatment within location-allocation modelling
A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem
A rolling horizon approach for stochastic mixed complementarity problems with endogenous learning: application to natural gas markets
Scenario tree generation and multi-asset financial optimization problems
Step decision rules for multistage stochastic programming: a heuristic approach
A dynamic stochastic programming model for international portfolio management
On the number of stages in multistage stochastic programs
Scenario reduction in stochastic programming
A multi-stage stochastic programming model for managing risk-optimal electricity portfolios
A note on scenario reduction for two-stage stochastic programs
Energy contracts management by stochastic programming techniques
BFC-MSMIP: an exact branch-and-fix coordination approach for solving multistage stochastic mixed 0-1 problems
Scenario approximation of robust and chance-constrained programs
A stochastic programming approach for the optimal management of aggregated distributed energy resources
Scenario reduction for stochastic programs with conditional value-at-risk
Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules
Reduction of nonanticipativity constraints in multistage stochastic programming problems with endogenous and exogenous uncertainty
Multi-item capacitated lot-sizing with demand uncertainty
Approximation algorithm with constant ratio for stochastic prize-collecting Steiner tree problem
Medium term scheduling of a hydro-thermal system using stochastic model predictive control
Financial scenario generation for stochastic multi-stage decision processes as facility location problems
Scenario Reduction Techniques in Stochastic Programming
Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods
Large-scale unit commitment under uncertainty
A probability metrics approach for reducing the bias of optimality gap estimators in two-stage stochastic linear programming
From empirical observations to tree models for stochastic optimization: convergence properties
Integrating intermittent renewable wind generation -- a stochastic multi-market electricity model for the European electricity market
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
Maximizing the net present value of a project under uncertainty
Solving stochastic complementarity problems in energy market modeling using scenario reduction
Risk-averse two-stage stochastic programs in furniture plants
Aggregation and discretization in multistage stochastic programming
Approximations for Probability Distributions and Stochastic Optimization Problems
Scenario tree generation approaches using K-means and LP moment matching methods
Importance sampling in stochastic optimization: an application to intertemporal portfolio choice
Scenario tree reduction for multistage stochastic programs
Stochastic optimization of electricity portfolios: scenario tree modeling and risk management
Hedging market and credit risk in corporate bond portfolios
A moment-matching method to generate arbitrage-free scenarios
A Benders decomposition method for solving stochastic complementarity problems with an application in energy
Hedging uncertainty: approximation algorithms for stochastic optimization problems
Operational optimization for microgrid of buildings with distributed solar power and battery
Path-dependent scenario trees for multistage stochastic programmes in finance
A framework for crude oil scheduling in an integrated terminal-refinery system under supply uncertainty
No-arbitrage conditions, scenario trees, and multi-asset financial optimization
An empirical analysis of scenario generation methods for stochastic optimization
Conditioning of linear-quadratic two-stage stochastic optimization problems
Mortgage loan portfolio optimization using multi-stage stochastic programming
Scenario tree modeling for multistage stochastic programs
Combining sampling-based and scenario-based nested Benders decomposition methods: application to stochastic dual dynamic programming
scientific article; zbMATH DE number 1552226 (Why is no real title available?)
Convergent bounds for stochastic programs with expected value constraints
Scenario construction and reduction applied to stochastic power generation expansion planning
Bidding in sequential electricity markets: the Nordic case
Dynamic determination of vessel speed and selection of bunkering ports for liner shipping under stochastic environment
Dynamic generation of scenario trees
Problem-based optimal scenario generation and reduction in stochastic programming
Epi-convergent discretizations of multistage stochastic programs via integration quadratures
An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information
Adaptive discretization of convex multistage stochastic programs
Scenario-dominance to multi-stage stochastic lot-sizing and knapsack problems
Hybrid stochastic and robust optimization model for lot-sizing and scheduling problems under uncertainties
Large-scale unit commitment under uncertainty: an updated literature survey
Distributionally robust stochastic variational inequalities
Iterative scenario based reduction technique for stochastic optimization using conditional value-at-risk
Scenario generation with distribution functions and correlations
Stochastic optimization strategies applied to the OLYMPUS benchmark
Risk and resilience-based optimal post-disruption restoration for critical infrastructures under uncertainty
Supply chain network design under uncertainty: a comprehensive review and future research directions
Liner ship bunkering and sailing speed planning with uncertain demand
A decomposition-based crash-start for stochastic programming
Statistical robustness in utility preference robust optimization models
A stability result for linear Markovian stochastic optimization problems
A stochastic programming approach to determine robust delivery profiles in area forwarding inbound logistics networks
Optimal scenario reduction for one- and two-stage robust optimization with discrete uncertainty in the objective
Stochastic programs with binary distributions: structural properties of scenario trees and algorithms
Scenario generation by selection from historical data
Fast scenario reduction by conditional scenarios in two-stage stochastic MILP problems
Observational data-based quality assessment of scenario generation for stochastic programs
Constraint generation for risk averse two-stage stochastic programs
Effective scenarios in multistage distributionally robust optimization with a focus on total variation distance
Building a stochastic programming model from scratch: a harvesting management example
Corporate hedging: an answer to the ``how question
Knowledge-based scenario tree generation methods and application in multiperiod portfolio selection problem
Short-term manpower planning for MRT carriage maintenance under mixed deterministic and stochastic demands
A stochastic programming approach for multi-period portfolio optimization
Quantitative stability analysis for minimax distributionally robust risk optimization
Scenario-based, closed-loop model predictive control with application to emergency vehicle scheduling

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