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Scenarios for Multistage Stochastic Programs

Jitka Dupačová (), Giorgio Consigli () and Stein Wallace

Annals of Operations Research, 2000, vol. 100, issue 1, 25-53

Abstract: A major issue in any application of multistage stochastic programming is the representation of the underlying random data process. We discuss the case when enough data paths can be generated according to an accepted parametric or nonparametric stochastic model. No assumptions on convexity with respect to the random parameters are required. We emphasize the notion of representative scenarios (or a representative scenario tree) relative to the problem being modeled. Copyright Kluwer Academic Publishers 2000

Keywords: scenarios and scenario trees; clustering; importance sampling; matching moments; problem oriented requirements; inference and bounds (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1023/A:1019206915174

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