Scenario Tree Generation for Multi-stage Stochastic Programs

Holger Heitsch () and Werner Römisch ()
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Holger Heitsch: Humboldt University Berlin
Werner Römisch: Institute of Mathematics, Humboldt University Berlin

Chapter Chapter 14 in Stochastic Optimization Methods in Finance and Energy, 2011, pp 313-341 from Springer

Abstract: Abstract We broaden the theoretical basis for generating scenario trees in multi-stage stochastic programming based on stability analysis. Numerical experience for constructing trees of demand and price scenarios in electricity portfolio management of a municipal power utility is also provided.

Keywords: Stochastic programming; Scenario tree; Scenario reduction; Scenario generation; Stability; Multi-stage; Power portfolio; Electricity (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-1-4419-9586-5_14

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DOI: 10.1007/978-1-4419-9586-5_14

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