Scenario generation for stochastic optimization problems via the sparse grid method

DOI10.1007/s10589-015-9751-7zbMath1331.90043OpenAlexW1982566213WikidataQ57435304 ScholiaQ57435304MaRDI QIDQ902086

N. E. Zubov

Publication date: 7 January 2016

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

Full work available at URL: https://doi.org/10.1007/s10589-015-9751-7

zbMATH Keywords

discretizationstochastic optimizationsparse gridscenario generation

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (6)

Fast scenario reduction by conditional scenarios in two-stage stochastic MILP problems ⋮ From scenarios to conditional scenarios in two‐stage stochastic MILP problems ⋮ Problem-driven scenario clustering in stochastic optimization ⋮ Sample Size Estimates for Risk-Neutral Semilinear PDE-Constrained Optimization ⋮ Quality evaluation of scenario-tree generation methods for solving stochastic programming problems ⋮ Adaptive Sequential Sample Average Approximation for Solving Two-Stage Stochastic Linear Programs

Uses Software

• nwSpGr
• PATSYM
• HRMSYM
• Lattice Builder

Cites Work

• Likelihood approximation by numerical integration on sparse grids
• Scenario tree modeling for multistage stochastic programs
• Numerical integration using sparse grids
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• Simple cubature formulas with high polynomial exactness
• High dimensional integration of smooth functions over cubes
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• The curse of dimensionality for numerical integration of smooth functions
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• Stieltjes Polynomials and Related Quadrature Rules
• Introduction to Numerical Analysis
• An algorithm for generating interpolatory quadrature rules of the highest degree of precision with preassigned nodes for general weight functions
• Sparse grids
• On Figures of Merit for Randomly-Shifted Lattice Rules
• Applications of Stochastic Programming
• The Optimum Addition of Points to Quadrature Formulae
• Epi-Convergent Discretizations of Multistage Stochastic Programs
• The Scenario Generation Algorithm for Multistage Stochastic Linear Programming
• Scenarios for multistage stochastic programs
• Scenario tree generation for multiperiod financial optimization of optimal discretization
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