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Scenarios for Multistage Stochastic Programs
Authors:Jitka Dupačová  Giorgio Consigli  Stein W Wallace
Institution:(1) Department of Probability and Mathematical Statistics, Charles University, Sokolovská 83, 186 75 Prague, Czech Republic;(2) UBM UniCredit Banca Mobilaire, Via T. Grossi 20, I-20102 Milano, Italy;(3) Department of Industrial Economics and Technology Management, Norwegian University of Science and Technology, N-7491 Trondheim, Norway
Abstract:A major issue in any application of multistage stochastic programming is the representation of the underlying random data process. We discuss the case when enough data paths can be generated according to an accepted parametric or nonparametric stochastic model. No assumptions on convexity with respect to the random parameters are required. We emphasize the notion of representative scenarios (or a representative scenario tree) relative to the problem being modeled.
Keywords:scenarios and scenario trees  clustering  importance sampling  matching moments  problem oriented requirements  inference and bounds
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