Generating Moment Matching Scenarios Using Optimization Techniques

DOI10.1137/110858082zbMath1273.90137OpenAlexW2014857980MaRDI QIDQ2848181

David Papp, Sanjay Mehrotra

Publication date: 25 September 2013

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/39f4bd229ca9a8edb208c8d46d18ea725fe437aa

zbMATH Keywords

cubaturecolumn generationconvex programmingsemi-infinite programmingmoment matchingscenario generationstatistical bounds

Mathematics Subject Classification ID

Convex programming (90C25) Applications of mathematical programming (90C90) Linear programming (90C05) Stochastic programming (90C15) Semi-infinite programming (90C34) Numerical quadrature and cubature formulas (65D32)

Related Items (9)

A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems ⋮ Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective ⋮ An empirical analysis of scenario generation methods for stochastic optimization ⋮ Multi-stage portfolio selection problem with dynamic stochastic dominance constraints ⋮ Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models ⋮ Scenario generation for stochastic optimization problems via the sparse grid method ⋮ A robust unscented transformation for uncertain moments ⋮ Generation and application of multivariate polynomial quadrature rules ⋮ Scenario generation in stochastic programming using principal component analysis based on moment-matching approach

Uses Software

• TESTPACK
• nwSpGr

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