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)...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	Computational management science Jg. 14; H. 3; S. 333 - 365
Hauptverfasser:	Keutchayan, Julien, Gendreau, Michel, Saucier, Antoine
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Berlin/Heidelberg Springer Berlin Heidelberg 01.07.2017 Springer Nature B.V
Schlagworte:	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-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Schreiben Sie den ersten Kommentar!