A simple heuristic for reducing the number of scenarios in two-stage stochastic programming

In this work we address the problem of solving multiscenario optimization models that are deterministic equivalents of two-stage stochastic programs. We present a heuristic approximation strategy where we reduce the number of scenarios and obtain an approximation of the original multiscenario optimi...

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Bibliographic Details
Published in:	Computers & chemical engineering Vol. 34; no. 8; pp. 1246 - 1255
Main Authors:	Karuppiah, Ramkumar, Martín, Mariano, Grossmann, Ignacio E.
Format:	Journal Article
Language:	English
Published:	Elsevier Ltd 01.08.2010
Subjects:	Approximation Equivalence Heuristic Mathematical analysis Mathematical models Multiscenario model Optimization Programming Scenario reduction Stochastic approximation Stochasticity Strategy Two-stage stochastic programming Stochastic approximation Multiscenario model Scenario reduction Two-stage stochastic programming
ISSN:	0098-1354, 1873-4375
Online Access:	Get full text
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