Scenario reduction algorithms in stochastic programming

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Adaptive discretization of convex multistage stochastic programs
Discrepancy distances and scenario reduction in two-stage stochastic mixed-integer programming
Scenario tree modeling for multistage stochastic programs
Mortgage loan portfolio optimization using multi-stage stochastic programming
Convergent bounds for stochastic programs with expected value constraints
Maximizing the net present value of a project under uncertainty
Solving stochastic complementarity problems in energy market modeling using scenario reduction
Scenario reduction in stochastic programming
Corporate hedging: an answer to the ``how question
An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information
Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods
Scenario reduction for stochastic programs with conditional value-at-risk
A stochastic programming approach for the optimal management of aggregated distributed energy resources
Supply chain network design under uncertainty: a comprehensive review and future research directions
Ensemble clustering for efficient robust optimization of naturally fractured reservoirs
Large-scale unit commitment under uncertainty: an updated literature survey
Solution sensitivity-based scenario reduction for stochastic unit commitment
Energy contracts management by stochastic programming techniques
Stochastic programs with binary distributions: structural properties of scenario trees and algorithms
Constraint generation for risk averse two-stage stochastic programs
Fostering long-term care planning in practice: extending objectives and advancing stochastic treatment within location-allocation modelling
Scenario generation by selection from historical data
Quantitative stability analysis for minimax distributionally robust risk optimization
Problem-based optimal scenario generation and reduction in stochastic programming
Scenario reduction revisited: fundamental limits and guarantees
A stability result for linear Markovian stochastic optimization problems
Model and solution method for mean-risk cost-based post-disruption restoration of interdependent critical infrastructure networks
Frameworks and results in distributionally robust optimization
Approximation algorithm with constant ratio for stochastic prize-collecting Steiner tree problem
Hybrid stochastic and robust optimization model for lot-sizing and scheduling problems under uncertainties
Importance sampling in stochastic optimization: an application to intertemporal portfolio choice
Multiobjective optimization model considering demand response and uncertainty of generation side of microgrid
Stochastic optimization strategies applied to the OLYMPUS benchmark
Evaluation of scenario reduction algorithms with nested distance
Statistical robustness in utility preference robust optimization models
Risk and resilience-based optimal post-disruption restoration for critical infrastructures under uncertainty
Maximizing the expected net present value in a project with uncertain cash flows
The stochastic guaranteed service model with recourse for multi-echelon warehouse management
Electricity market clearing with improved scheduling of stochastic production
Scenario tree reduction for multistage stochastic programs
A stochastic programming approach for multi-period portfolio optimization
Liner ship bunkering and sailing speed planning with uncertain demand
Observational data-based quality assessment of scenario generation for stochastic programs
Comments on: ``A comparative study of time aggregation techniques in relation to power capacity-expansion modeling
Large-scale unit commitment under uncertainty
No-arbitrage bounds for financial scenarios
Iterative scenario based reduction technique for stochastic optimization using conditional value-at-risk
Natural gas production network infrastructure development under uncertainty
A decomposition-based crash-start for stochastic programming
Short-term manpower planning for MRT carriage maintenance under mixed deterministic and stochastic demands
A probability metrics approach for reducing the bias of optimality gap estimators in two-stage stochastic linear programming
Step decision rules for multistage stochastic programming: a heuristic approach
Medium term scheduling of a hydro-thermal system using stochastic model predictive control
Scenario tree generation and multi-asset financial optimization problems
Risk-averse two-stage stochastic programs in furniture plants
A stochastic programming approach to determine robust delivery profiles in area forwarding inbound logistics networks
Dynamic determination of vessel speed and selection of bunkering ports for liner shipping under stochastic environment
A dynamic stochastic programming model for international portfolio management
A note on scenario reduction for two-stage stochastic programs
Aggregation and discretization in multistage stochastic programming
Strategic foreign reserves risk management: Analytical framework
Financial scenario generation for stochastic multi-stage decision processes as facility location problems
Hedging uncertainty: approximation algorithms for stochastic optimization problems
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
Combining sampling-based and scenario-based nested Benders decomposition methods: application to stochastic dual dynamic programming
Particle methods for stochastic optimal control problems
Constructing branching trees of geostatistical simulations
An eco-friendly closed-loop supply chain facing demand and carbon price uncertainty
From empirical observations to tree models for stochastic optimization: convergence properties
Scenario-based, closed-loop model predictive control with application to emergency vehicle scheduling
Path-dependent scenario trees for multistage stochastic programmes in finance
A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem
Total variation bounds on the expectation of periodic functions with applications to recourse approximations
A cross-decomposition scheme with integrated primal-dual multi-cuts for two-stage stochastic programming investment planning problems
Bidding in sequential electricity markets: the Nordic case
A multi-stage stochastic programming model for managing risk-optimal electricity portfolios
Stochastic optimization of electricity portfolios: scenario tree modeling and risk management
Integrating intermittent renewable wind generation -- a stochastic multi-market electricity model for the European electricity market
A moment-matching method to generate arbitrage-free scenarios
A framework for crude oil scheduling in an integrated terminal-refinery system under supply uncertainty
An empirical analysis of scenario generation methods for stochastic optimization
On the scenario-tree optimal-value error for stochastic programming problems
Scenario construction and reduction applied to stochastic power generation expansion planning
A rolling horizon approach for stochastic mixed complementarity problems with endogenous learning: application to natural gas markets
Commitment and dispatch of heat and power units via affinely adjustable robust optimization
Multi-item capacitated lot-sizing with demand uncertainty
Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
Algorithmic Aspects of Scenario-Based Multi-stage Decision Process Optimization
Scenario Reduction Techniques in Stochastic Programming
Scenario approximation of robust and chance-constrained programs
Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules
Scenario tree generation approaches using K-means and LP moment matching methods
scientific article; zbMATH DE number 1552226 (Why is no real title available?)
An efficient gradient projection method for stochastic optimal control problems
Hedging market and credit risk in corporate bond portfolios
Scenario Tree Generation for Multi-stage Stochastic Programs
Approximations for Probability Distributions and Stochastic Optimization Problems
Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization
Conditioning of linear-quadratic two-stage stochastic optimization problems

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