Scenario tree reduction for multistage stochastic programs
✍ Scribed by Holger Heitsch; Werner Römisch
- Publisher
- Springer-Verlag
- Year
- 2008
- Tongue
- English
- Weight
- 425 KB
- Volume
- 6
- Category
- Article
- ISSN
- 1619-697X
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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 a
In [Euro. J. Operat. Res. 143 (2002) 452; Opt. Meth. Software 17 (2002) 383] a Riccatibased primal interior point method for multistage stochastic programmes was developed. This algorithm has several interesting features. It can solve problems with a nonlinear node-separable convex objective, local