edoc-Server der Humboldt-Universität zu Berlin

SPEPS Preprint

Author(s): Kjetil Høyland, Gjensidige Nor Asset Management
Michal Kaut, Norwegian University of Science and Technology
Stein W. Wallace, Molde University College
Title: A heuristic for generating scenario trees for multistage decision problems
Date of Acceptance: 06.04.2001
Submission Date: 22.06.2000
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Keywords (eng): stochastic programming, scenario tree generation, heuristics, Cholesky decomposition
Appeared in: Computational Optimization and ApplicationsComputational optimization and applications : an international journal 2-3 (Vol. 24, 2003)
Springer Science + Business Media B.V. (New York, NY [u.a.])
Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link. Endnote   Bibtex  

Abstract (eng):
In stochastic programming models we always face the problem of how to represent the random variables. This is particularly difficult with multidimensional distributions. We present an algorithm that produces a discrete joint distribution consistent with specified values of the first four marginal moments and correlations. The joint distribution is constructed by decomposing the multivariate problem into univariate ones, and using an iterative procedure that combines simulation, Cholesky decomposition and various transformations to achieve the correct correlations without changing the marginal moments. With the algorithm, we can generate 1000 one-period scenarios for 12 random variables in 16 seconds, and for 20 random variables in 48 seconds, on a Pentium III machine.
Access Statistics: These data concerning access statistics for individual documents have been compiled using the webserver log files aggregated by AWSTATS. They refer to a monthly access count to the full text documents as well as to the entry page.
 
As for format versions of a document which consist of multiple files (such as HTML) the highest monthly access number to one of the files (chapters) is shown respectivly.
 
To see the detailled access numbers please move the mouse pointer over the single bars of the digaram.
Startseite: 2 Zugriffe PDF: 1 Zugriffe Startseite: 2 Zugriffe PDF: 3 Zugriffe Startseite: 2 Zugriffe Startseite: 1 Zugriffe PDF: 1 Zugriffe Startseite: 2 Zugriffe PDF: 1 Zugriffe Startseite: 1 Zugriffe PDF: 7 Zugriffe Startseite: 2 Zugriffe PDF: 4 Zugriffe Startseite: 1 Zugriffe PDF: 6 Zugriffe Startseite: 1 Zugriffe PDF: 8 Zugriffe Startseite: 1 Zugriffe PDF: 6 Zugriffe PDF: 7 Zugriffe Startseite: 1 Zugriffe PDF: 10 Zugriffe PDF: 17 Zugriffe PDF: 11 Zugriffe Startseite: 1 Zugriffe PDF: 4 Zugriffe PDF: 14 Zugriffe PDF: 6 Zugriffe Startseite: 2 Zugriffe PDF: 14 Zugriffe Startseite: 1 Zugriffe PDF: 18 Zugriffe PDF: 23 Zugriffe PDF: 10 Zugriffe Startseite: 2 Zugriffe PDF: 16 Zugriffe PDF: 6 Zugriffe Startseite: 2 Zugriffe PDF: 9 Zugriffe PDF: 5 Zugriffe Startseite: 2 Zugriffe PDF: 6 Zugriffe PDF: 5 Zugriffe Startseite: 2 Zugriffe PDF: 8 Zugriffe Startseite: 1 Zugriffe PDF: 12 Zugriffe PDF: 11 Zugriffe PDF: 10 Zugriffe Startseite: 4 Zugriffe PDF: 29 Zugriffe Startseite: 1 Zugriffe PDF: 11 Zugriffe PDF: 12 Zugriffe PDF: 6 Zugriffe PDF: 17 Zugriffe PDF: 10 Zugriffe Startseite: 4 Zugriffe PDF: 18 Zugriffe
Jul
11
Aug
11
Sep
11
Oct
11
Nov
11
Dec
11
Jan
12
Feb
12
Apr
12
May
12
Jun
12
Jul
12
Aug
12
Sep
12
Oct
12
Nov
12
Dec
12
Jan
13
Feb
13
Mar
13
Apr
13
May
13
Jun
13
Jul
13
Aug
13
Sep
13
Oct
13
Nov
13
Dec
13
Jan
14
Feb
14
Mar
14
Apr
14
May
14
Jun
14
Jul
14
Aug
14
Sep
14
Monat Jul
11
Aug
11
Sep
11
Oct
11
Nov
11
Dec
11
Jan
12
Feb
12
Apr
12
May
12
Jun
12
Jul
12
Aug
12
Sep
12
Oct
12
Nov
12
Dec
12
Jan
13
Feb
13
Mar
13
Apr
13
May
13
Jun
13
Jul
13
Aug
13
Sep
13
Oct
13
Nov
13
Dec
13
Jan
14
Feb
14
Mar
14
Apr
14
May
14
Jun
14
Jul
14
Aug
14
Sep
14
Startseite 2 2 2 1 2 1 2 1 1 1   1     1     2 1     2   2   2   2 1     4 1         4
PDF 1 3   1 1 7 4 6 8 6 7 10 17 11 4 14 6 14 18 23 10 16 6 9 5 6 5 8 12 11 10 29 11 12 6 17 10 18

Gesamtzahl der Zugriffe seit Jul 2011:

  • Startseite – 38 (1 pro Monat)
  • PDF – 362 (9.53 pro Monat)
 
 
Generated at 26.10.2014, 04:59:29