✦ LIBER ✦

A note on scenario reduction for two-stage stochastic programs

✍ Scribed by Holger Heitsch; Werner Römisch

Publisher: Elsevier Science
Year: 2007
Tongue: English
Weight: 346 KB
Volume: 35
Category: Article
ISSN: 0167-6377
DOI: 10.1016/j.orl.2006.12.008

No coin nor oath required. For personal study only.

✦ Synopsis

We extend earlier work on scenario reduction by relying directly on Fortet-Mourier metrics instead of using upper bounds given in terms of mass transportation problems. The importance of Fortet-Mourier metrics for quantitative stability of twostage models is reviewed and some numerical results are also provided.

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