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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Vydané v:	Computational management science Ročník 14; číslo 3; s. 333 - 365
Hlavní autori:	Keutchayan, Julien, Gendreau, Michel, Saucier, Antoine
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Berlin/Heidelberg Springer Berlin Heidelberg 01.07.2017 Springer Nature B.V
Predmet:	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
On-line prístup:	Získať plný text
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