Scenario tree reduction for multistage stochastic programs
نویسندگان
چکیده
منابع مشابه
Scenario tree reduction for multistage stochastic programs
A framework for the reduction of scenario trees as inputs of (linear) multistage stochastic programs is provided such that optimal values and approximate solution sets remain close to each other. The argument is based on upper bounds of the Lr -distance and the filtration distance, and on quantitative stability results for multistage stochastic programs. The important difference from scenario r...
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An important issue for solving multistage stochastic programs consists in the approximate representation of the (multivariate) stochastic input process in the form of a scenario tree. In this paper, we develop (stability) theory-based heuristics for generating scenario trees out of an initial set of scenarios. They are based on forward or backward algorithms for tree generation consisting of re...
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Even with recent enhancements, computation times for large-scale multistage problems with risk-averse objective functions can be very long. Therefore, preprocessing via scenario reduction could be considered as a way to significantly improve the overall performance. Stage-wise backward reduction of single scenarios applied to a fixed branching structure of the tree is a promising tool for effic...
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ژورنال
عنوان ژورنال: Computational Management Science
سال: 2008
ISSN: 1619-697X,1619-6988
DOI: 10.1007/s10287-008-0087-y