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.
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| Author: | Rene Henrion, Christian Küchler, Werner Römisch |
|---|---|
| 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 |
