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Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure |
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| Authors: | Fairbrother Jamie Turner Amanda Wallace Stein W |
| Institution: | 1.STOR-i Centre for Doctoral Training, Lancaster University, Lancaster, UK ;2.Department of Business and Management Science, Norwegian School of Economics, Bergen, Norway ; |
| Abstract: | Mathematical Programming - Scenario generation is the construction of a discrete random vector to represent parameters of uncertain values in a stochastic program. Most approaches to scenario... |
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