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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.

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Metadaten
Author:Holger Heitsch, Werner Römisch
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
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