Approximations for Probability Distributions and Stochastic Optimization Problems

Georg Ch. Pflug () and Alois Pichler ()
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Georg Ch. Pflug: University of Vienna
Alois Pichler: University of Vienna

Chapter Chapter 15 in Stochastic Optimization Methods in Finance and Energy, 2011, pp 343-387 from Springer

Abstract: Abstract In this chapter, an overview of the scenario generation problem is given. After an introduction, the basic problem of measuring the distance between two single-period probability models is described in Section 15.2. Section 15.3 deals with finding good single-period scenarios based on the results of the first section. The distance concepts are extended to the multi-period situation in Section 15.4. Finally, Section 15.5 deals with the construction and reduction of scenario trees.

Keywords: Scenario generation; Probability distances; Optimal discretizations; Scenario trees; Nested distributions (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/978-1-4419-9586-5_15

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