Name
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. |
Year | DOI | Venue |
|---|---|---|
2007 | 10.1007/s00186-006-0124-y | Math. Meth. of OR |
Keywords | Field | DocType |
stochastic programming · multistage · scenario tree · scenario reduc- tion · adaptive discretization,portfolio management,stochastic programming,optimization problem | Discrete mathematics,Discretization,Power management,Mathematical optimization,Project portfolio management,Regular polygon,Scenario tree,Stochastic programming,Optimization problem,Mathematics | Journal |
Volume | Issue | ISSN |
65 | 2 | 1432-2994 |
Citations | PageRank | References |
3 | 0.39 | 9 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Stefan Vigerske | 1 | 119 | 10.85 |
| Ivo Nowak | 2 | 3 | 0.39 |