Scenario tree generation for multi-stage stochastic programs
Please always quote using this URN:urn:nbn:de:0296-matheon-6942
- We broaden the theoretical basis for generating scenario trees in multistage stochastic programming based on stability analysis. Numerical experience for constructing trees of demand and price scenarios in electricity portfolio management of a municipal power utility is also provided.
Author: | Werner Römisch, Heitsch Holger |
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URN: | urn:nbn:de:0296-matheon-6942 |
Referee: | Fredi Tröltzsch |
Document Type: | Preprint, Research Center Matheon |
Language: | English |
Date of first Publication: | 2010/05/25 |
Release Date: | 2010/05/14 |
Preprint Number: | 703 |