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SPEPS Preprint

Author(s): Holger Heitsch, Humboldt-University
Werner Römisch, Humboldt-University
Title: Scenario tree modelling for multistage stochastic programs
Date of Acceptance: 31.03.2006
Submission Date: 23.11.2005
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint: pdf (urn:nbn:de:kobv:11-10066244)
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Abstract (eng):
An important issue for solving multistage stochastic programs consists in the approximate representation of the (multivariate) stochastic input process in the form of a scenario tree. In this paper, forward and backward approaches are developed for generating scenario trees out of an initial fan of individual scenarios. Both approaches are motivated by the recent stability result in [15] for optimal values of multistage stochastic programs. They are based on upper bounds for the two relevant ingredients of the stability estimate, namely, the probabilistic and the filtration distance, respectively. These bounds allow to control the process of recursive scenario reduction [13] and branching. Numerical experience is reported for constructing multivariate scenario trees in electricity portfolio management.
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