Dupacova, Jitka and Consigli, Giorgio and Wallace, S W (2000) Scenarios for multistage stochastic programs. Annals of Operations Research, 100 (1-4). pp. 25-53. ISSN 0254-5330Full text not available from this repository.
A major issue in any application of multistage stochastic programming is the representation of the underlying random data process. We discuss the case when enough data paths can be generated according to an accepted parametric or nonparametric stochastic model. No assumptions on convexity with respect to the random parameters are required. We emphasize the notion of representative scenarios (or a representative scenario tree) relative to the problem being modeled.
|Journal or Publication Title:||Annals of Operations Research|
|Uncontrolled Keywords:||scenarios and scenario trees ; clustering ; importance sampling ; matching moments ; problem oriented requirements ; inference and bounds|
|Departments:||Lancaster University Management School > Management Science|
|Deposited On:||11 Jul 2011 19:31|
|Last Modified:||05 Aug 2016 01:12|
Actions (login required)