Stability and scenario trees for multistage stochastic programs
Please always quote using this URN:urn:nbn:de:0296-matheon-3317
- By extending the stability analysis of [17] for multistage stochastic programs we show that their solution sets behave stable with respect to the sum of an Lr-distance and a filtration distance. Based on such stability results we suggest a scenario tree generation method for the (multivariate) stochastic input process. It starts with a fan of individual scenarios and consists of a recursive deletion and branching procedure which is controlled by bounding the approximation error. Some numerical experience for generating scenario trees in electricity portfolio management is reported.
Author: | Holger Heitsch, Werner Römisch |
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URN: | urn:nbn:de:0296-matheon-3317 |
Referee: | Fredi Tröltzsch |
Document Type: | Preprint, Research Center Matheon |
Language: | English |
Date of first Publication: | 2006/04/24 |
Release Date: | 2006/04/19 |
Tag: | |
Institute: | Humboldt-Universität zu Berlin |
Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS) | |
MSC-Classification: | 90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C15 Stochastic programming |
Preprint Number: | 324 |