Generating scenario trees: A parallel integrated simulation–optimization approach
نویسندگان
چکیده
منابع مشابه
Generating scenario trees: A parallel integrated simulation-optimization approach
A crucial issue for addressing decision-making problems under uncertainty is the approximate representation of multivariate stochastic processes in the form of scenario tree. This paper proposes a scenario generation approach based on the idea of integrating simulation and optimization techniques. In particular, simulation is used to generate outcomes associated with the nodes of the scenario t...
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In models of decision making under uncertainty we often are faced with the problem of representing the uncertainties in a form suitable for quantitative models. If the uncertainties are expressed in terms of multivariate continuous distributions, or a discrete distribution with far too many outcomes, we normally face two possibilities: either creating a decision model with internal sampling, or...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2010
ISSN: 0377-0427
DOI: 10.1016/j.cam.2009.10.017