Scenario generation by selection from historical data
نویسندگان
چکیده
Abstract In this paper, we present and compare several methods for generating scenarios stochastic-programming models by direct selection from historical data. The range standard sampling k -means, through iterative sampling-based methods, to a new moment-based optimization approach. We the on simple portfolio-optimization model show how use them in situation when are selecting whole sequences data, instead of single data points.
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ژورنال
عنوان ژورنال: Computational Management Science
سال: 2021
ISSN: ['1619-6988', '1619-697X']
DOI: https://doi.org/10.1007/s10287-021-00399-4