Quality evaluation of scenario-tree generation methods for solving stochastic programming problems

DOI10.1007/s10287-017-0279-4zbMath1397.90215OpenAlexW2616838035MaRDI QIDQ1789621

Michel Gendreau, Julien Keutchayan, Antoine Saucier

Publication date: 10 October 2018

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-017-0279-4

zbMATH Keywords

stochastic programmingscenario treeout-of-sample evaluationdecision policy

Mathematics Subject Classification ID

Stochastic programming (90C15) Management decision making, including multiple objectives (90B50)

Related Items

On the safe side of stochastic programming: bounds and approximations ⋮ Problem-driven scenario clustering in stochastic optimization ⋮ On the Scenario-Tree Optimal-Value Error for Stochastic Programming Problems ⋮ Optimized operating rules for short-term hydropower planning in a stochastic environment

Cites Work

• Generating Scenario Trees for Multistage Decision Problems
• A comment on ``Computational complexity of stochastic programming problems
• Dynamic generation of scenario trees
• Scenario generation for stochastic optimization problems via the sparse grid method
• Scenario tree modeling for multistage stochastic programs
• Continuous versus measurable recourse in N-stage stochastic programming
• Bound-based approximations in multistage stochastic programming: nonanticipativity aggregation
• A simulation-based approach to two-stage stochastic programming with recourse
• Monte Carlo bounding techniques for determinig solution quality in stochastic programs
• Barycentric scenario trees in convex multistage stochastic programming
• Scenario reduction in stochastic programming
• Stochastic programming with integer variables
• A heuristic for moment-matching scenario generation
• Quasi-Monte Carlo methods for linear two-stage stochastic programming problems
• Variance reduction in sample approximations of stochastic programs
• Computational complexity of stochastic programming problems
• A Distance For Multistage Stochastic Optimization Models
• Variance Reduction via Lattice Rules
• Numerical evaluation of approximation methods in stochastic programming
• Introduction to Stochastic Programming
• Constructing Randomly Shifted Lattice Rules in Weighted Sobolev Spaces
• Epi-Convergent Discretizations of Multistage Stochastic Programs
• Scenario tree generation for multiperiod financial optimization of optimal discretization
• Scenario generation and stochastic programming models for asset liability management
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item