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

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.