Quality evaluation of scenario-tree generation methods for solving stochastic programming problems

This paper addresses the generation of scenario trees to solve stochastic programming problems that have a large number of possible values for the random parameters (possibly infinitely many). For the sake of the computational efficiency, the scenario trees must include only a finite (rather small)...

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Bibliographic Details
Published in:	Computational management science Vol. 14; no. 3; pp. 333 - 365
Main Authors:	Keutchayan, Julien, Gendreau, Michel, Saucier, Antoine
Format:	Journal Article
Language:	English
Published:	Berlin/Heidelberg Springer Berlin Heidelberg 01.07.2017 Springer Nature B.V
Subjects:	Business and Management Computing time Couples Decision making Decisions Extrapolation Mathematical programming Operations Research/Decision Theory Optimization Original Paper Probability theory Quality Quality assessment Stochastic programming Trees Decision policy Scenario tree Out-of-sample evaluation Stochastic programming
ISSN:	1619-697X, 1619-6988
Online Access:	Get full text
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