Dynamic generation of scenario trees

DOI10.1007/s10589-015-9758-0zbMath1337.90047OpenAlexW803647133WikidataQ59254868 ScholiaQ59254868MaRDI QIDQ902085

Georg Ch. Pflug, Alois Pichler

Publication date: 7 January 2016

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/9094

zbMATH Keywords

stochastic optimizationdecision treesoptimal transportation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability measures on topological spaces (60B05) Stochastic programming (90C15)

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