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.
Author: | Holger Heitsch, Werner Römisch |
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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 |