TY - GEN A1 - Heitsch, Holger A1 - Römisch, Werner T1 - Scenario tree modelling for multistage stochastic programs N2 - 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, forward and backward approaches are developed for generating scenario trees out of an initial fan of individual scenarios. Both approaches are motivated by the recent stability result in [15] for optimal values of multistage stochastic programs. They are based on upper bounds for the two relevant ingredients of the stability estimate, namely, the probabilistic and the filtration distance, respectively. These bounds allow to control the process of recursive scenario reduction [13] and branching. Numerical experience is reported for constructing multivariate scenario trees in electricity portfolio management. KW - Stochastic programming KW - multistage KW - stability KW - Lr-distance KW - filtration KW - scenario tree KW - scenario reduction Y1 - 2005 UR - https://opus4.kobv.de/opus4-matheon/frontdoor/index/index/docId/306 UR - https://nbn-resolving.org/urn:nbn:de:0296-matheon-3069 ER -