Discrepancy distances and scenario reduction in two-stage stochastic integer programming
Please always quote using this URN:urn:nbn:de:0296-matheon-4071
- Polyhedral discrepancies are relevant for the quantitative stability of mixed-integer two-stage and chance constrained stochastic programs. We study the problem of optimal scenario reduction for a discrete probability distribution with respect to certain polyhedral discrepancies and develop algorithms for determining the optimally reduced distribution approximately. Encouraging numerical experience for optimal scenario reduction is provided.
Author: | Rene Henrion, Christian Küchler, Werner Römisch |
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URN: | urn:nbn:de:0296-matheon-4071 |
Referee: | Fredi Tröltzsch |
Document Type: | Preprint, Research Center Matheon |
Language: | English |
Date of first Publication: | 2007/06/08 |
Release Date: | 2007/07/25 |
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: | 397 |