Adaptive discretization of convex multistage stochastic programs

Stefan Vigerske () and Ivo Nowak

Mathematical Methods of Operations Research, 2007, vol. 65, issue 2, 383 pages

Abstract: We propose a new scenario tree reduction algorithm for multistage stochastic programs, which integrates the reduction of a scenario tree into the solution process of the stochastic program. This allows to construct a scenario tree that is highly adapted on the optimization problem. The algorithm starts with a rough approximation of the original tree and locally refines this approximation as long as necessary. Promising numerical results for scenario tree reductions in the settings of portfolio management and power management with uncertain load are presented. Copyright Springer-Verlag 2007

Keywords: Stochastic programming; Multistage; Scenario tree; Scenario reduction; Adaptive discretization (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s00186-006-0124-y

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