Scenario tree modelling for multistage stochastic programs
Please always quote using this URN:urn:nbn:de:0296-matheon-3069
- 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.
Author: | Holger Heitsch, Werner Römisch |
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URN: | urn:nbn:de:0296-matheon-3069 |
Referee: | Peter Imkeller |
Document Type: | Preprint, Research Center Matheon |
Language: | English |
Date of first Publication: | 2005/05/12 |
Release Date: | 2005/02/12 |
Tag: | |
MSC-Classification: | 90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C15 Stochastic programming |
Preprint Number: | 296 |