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Scenarios for multistage stochastic programs

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 0254-5330

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Abstract

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.

Item Type: Article
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
Subjects:
Departments: Lancaster University Management School > Management Science
ID Code: 45382
Deposited By: ep_importer_pure
Deposited On: 11 Jul 2011 19:31
Refereed?: Yes
Published?: Published
Last Modified: 26 Jul 2012 19:15
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/45382

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