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Scenarios for multistage stochastic programs

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Scenarios for multistage stochastic programs. / Dupacova, Jitka; Consigli, Giorgio; Wallace, S W.
In: Annals of Operations Research, Vol. 100, No. 1-4, 12.2000, p. 25-53.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Dupacova, J, Consigli, G & Wallace, SW 2000, 'Scenarios for multistage stochastic programs', Annals of Operations Research, vol. 100, no. 1-4, pp. 25-53. https://doi.org/10.1023/A:1019206915174

APA

Dupacova, J., Consigli, G., & Wallace, S. W. (2000). Scenarios for multistage stochastic programs. Annals of Operations Research, 100(1-4), 25-53. https://doi.org/10.1023/A:1019206915174

Vancouver

Dupacova J, Consigli G, Wallace SW. Scenarios for multistage stochastic programs. Annals of Operations Research. 2000 Dec;100(1-4):25-53. doi: 10.1023/A:1019206915174

Author

Dupacova, Jitka ; Consigli, Giorgio ; Wallace, S W. / Scenarios for multistage stochastic programs. In: Annals of Operations Research. 2000 ; Vol. 100, No. 1-4. pp. 25-53.

Bibtex

@article{ccec0a593e57402e8566780e31accd6e,
title = "Scenarios for multistage stochastic programs",
abstract = "A major issue in any application of multistage stochastic programming is the representation of the underlying random data process. We discuss the case when enough data paths can be generated according to an accepted parametric or nonparametric stochastic model. No assumptions on convexity with respect to the random parameters are required. We emphasize the notion of representative scenarios (or a representative scenario tree) relative to the problem being modeled.",
keywords = "scenarios and scenario trees, clustering , importance sampling , matching moments, problem oriented requirements, inference and bounds",
author = "Jitka Dupacova and Giorgio Consigli and Wallace, {S W}",
year = "2000",
month = dec,
doi = "10.1023/A:1019206915174",
language = "English",
volume = "100",
pages = "25--53",
journal = "Annals of Operations Research",
issn = "0254-5330",
publisher = "Springer",
number = "1-4",

}

RIS

TY - JOUR

T1 - Scenarios for multistage stochastic programs

AU - Dupacova, Jitka

AU - Consigli, Giorgio

AU - Wallace, S W

PY - 2000/12

Y1 - 2000/12

N2 - A major issue in any application of multistage stochastic programming is the representation of the underlying random data process. We discuss the case when enough data paths can be generated according to an accepted parametric or nonparametric stochastic model. No assumptions on convexity with respect to the random parameters are required. We emphasize the notion of representative scenarios (or a representative scenario tree) relative to the problem being modeled.

AB - A major issue in any application of multistage stochastic programming is the representation of the underlying random data process. We discuss the case when enough data paths can be generated according to an accepted parametric or nonparametric stochastic model. No assumptions on convexity with respect to the random parameters are required. We emphasize the notion of representative scenarios (or a representative scenario tree) relative to the problem being modeled.

KW - scenarios and scenario trees

KW - clustering

KW - importance sampling

KW - matching moments

KW - problem oriented requirements

KW - inference and bounds

U2 - 10.1023/A:1019206915174

DO - 10.1023/A:1019206915174

M3 - Journal article

VL - 100

SP - 25

EP - 53

JO - Annals of Operations Research

JF - Annals of Operations Research

SN - 0254-5330

IS - 1-4

ER -