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Scenario tree generation for multi-stage stochastic programs

Please always quote using this URN:urn:nbn:de:0296-matheon-6942
  • We broaden the theoretical basis for generating scenario trees in multistage stochastic programming based on stability analysis. Numerical experience for constructing trees of demand and price scenarios in electricity portfolio management of a municipal power utility is also provided.

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Metadaten
Author:Werner Römisch, Heitsch Holger
URN:urn:nbn:de:0296-matheon-6942
Referee:Fredi Tröltzsch
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2010/05/25
Release Date:2010/05/14
Preprint Number:703
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