Generating and handling scenarios in stochastic programming
Presenter
October 18, 2010
Keywords:
- Stochastic programming
MSC:
- 90C15
Abstract
First, three approaches to scenario generation besides
Monte Carlo methods are considered: (i) Optimal quantization
of probability distributions, (ii) Quasi-Monte Carlo
methods and (iii) Quadrature rules based on sparse
grids. The available theory is discussed and related
to applying them in stochastic programming. Second,
the problem of optimal scenario reduction and the
generation of scenario trees for multistage models
are addressed.