Scenario generation for stochastic programming and simulation: a modelling perspective

DOI10.1093/imaman/dpm027zbMath1154.90554OpenAlexW2009839682MaRDI QIDQ3605548

Gautam Mitra, Nico Di Domenica, Patrick Valente, Cormac Lucas

Publication date: 24 February 2009

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpm027

zbMATH Keywords

samplingsimulationscenario generationstochastic programming environment

Mathematics Subject Classification ID

Decision theory (91B06) Stochastic programming (90C15) Management decision making, including multiple objectives (90B50) Reasoning under uncertainty in the context of artificial intelligence (68T37)

Related Items (4)

A stochastic optimization model for real-time ambulance redeployment ⋮ A computational study of a solver system for processing two-stage stochastic LPs with enhanced Benders decomposition ⋮ A study on modeling the dynamics of statistically dependent returns ⋮ Path-dependent scenario trees for multistage stochastic programmes in finance

Uses Software

• CORO

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