Scenario-Based Stochastic Programs: Strategies for Deleting Scenarios

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/4132 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/4132 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/4132 archive 351 disk0/00/00/45/78 2016-01-15 02:06:23 2021-08-27 17:15:23 2016-01-15 02:06:23 monograph show 2 Dupacova J. AL0616 Scenario-Based Stochastic Programs: Strategies for Deleting Scenarios pub iis_cmp iis_met iis_mod iis_sys prog_opt The proposed strategies for deleting scenarios are based on postoptimality analysis of the optimal value function with respect to probabilities of the included scenarios. These strategies can be used to reduce the size of the large scenario based problems or of the problems constructed in the course of specific numerical procedures, such as stochastic decomposition or scenario aggregation. A convex nonsmooth optimization problem is replaced by a sequence of line search problems along recursively updated rays. Convergence of the method is proved and applications indicated. 1995-02 published WP-95-014 WP-95-014 10 1850 public working_paper IIASA, Laxenburg, Austria 16 FALSE info:eu-repo/semantics/book