• search hit 3 of 12
Back to Result List

A note on scenario reduction for two-stage stochastic programs

Please always quote using this URN:urn:nbn:de:0296-matheon-3439
  • We extend earlier work on scenario reduction by relying directly on Fortet-Mourier metrics instead of using upper bounds given in terms of mass transportation problems. The importance of Fortet-Mourier metrics for quantitative stability of two-stage models is reviewed and some numerical results are also provided.

Download full text files

Export metadata

Additional Services

Share in Twitter Search Google Scholar
Metadaten
Author:Holger Heitsch, Werner Römisch
URN:urn:nbn:de:0296-matheon-3439
Referee:Fredi Tröltzsch
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2006/06/19
Release Date:2006/01/06
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:335
Verstanden ✔
Diese Webseite verwendet technisch erforderliche Session-Cookies. Durch die weitere Nutzung der Webseite stimmen Sie diesem zu. Unsere Datenschutzerklärung finden Sie hier.