Dynamic generation of scenario trees

Pflug G & Pichler A (2015). Dynamic generation of scenario trees. Computational Optimization and Applications 62 (3): 641-668. DOI:10.1007/s10589-015-9758-0.

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Abstract

This paper presents new algorithms for the dynamic generation of scenario trees for multistage stochatic optimization. The different methods described are based on random vectors, which are drawn from conditional distributions given the past nd on sample trajectories. The structure of the tree is not determined beforehand, but dynamically adapted to meet a distance criterion, which measurs the quality of the approximation. The criterion is built on transportation theory, which is extended to stochastic processes.

Item Type: Article
Uncontrolled Keywords: decision trees; stochastic optimization; optimal transportation; 90C15; 60B05; 62P05
Research Programs: Risk & Resilience (RISK)
Risk, Policy and Vulnerability (RPV)
Bibliographic Reference: Computational Optimization nd Applications; 62(3):641-668 [December 2015] (Published online 9 May 2015)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 08:52
Last Modified: 14 Sep 2016 12:02
URI: http://pure.iiasa.ac.at/11333

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