Generating scenario trees: a parallel integrated simulation-optimization approach

DOI10.1016/j.cam.2009.10.017zbMath1180.90343OpenAlexW2009416611MaRDI QIDQ847184

Antonio Violi, Patrizia Beraldi, Francesco de Simone

Publication date: 12 February 2010

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2009.10.017

zbMATH Keywords

simulationparallel algorithmsmoment matchingscenario tree generation

Mathematics Subject Classification ID

Programming involving graphs or networks (90C35) Parallel algorithms in computer science (68W10)

Related Items (6)

A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem ⋮ Multiperiod portfolio investment using stochastic programming with conditional value at risk ⋮ A stochastic programming approach for the optimal management of aggregated distributed energy resources ⋮ Risk-averse two-stage stochastic programs in furniture plants ⋮ Dealing with complex transaction costs in portfolio management ⋮ Effective location models for sorting recyclables in public management

Uses Software

• OptiRisk
• MPI

Cites Work

• A method for simulating non-normal distributions
• Generating Scenario Trees for Multistage Decision Problems
• Simulation and optimization approaches to scenario tree generation
• Simulating multivariate nonnormal distributions
• A heuristic for moment-matching scenario generation
• Portfolio and investment risk analysis on global grids
• Coherent Measures of Risk
• An Approximate Method for Sampling Correlated Random Variables from Partially-Specified Distributions
• Feature Article: Optimization for simulation: Theory vs. Practice
• Scenarios for multistage stochastic programs

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