|edoc-Server der Humboldt-Universität zu Berlin|
Michal Kaut, Norwegian University of Science and Technology|
Stein W. Wallace, Molde University College
|Title:||Evaluation of scenario-generation methods for stochastic programming|
|Date of Acceptance:||14.07.2003|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10059100)|
|Keywords (eng):||stochastic programming, scenario generation, scenario tree|
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|In this paper, we discuss the evaluation of quality/suitability of scenario-generation methods for a given stochastic programming model. We formulate minimal requirements that should be imposed on a scenario-generation method before it can be used for solving the stochastic pro-gramming model. We also show how the requirements can be tested. The procedure of testing a scenario-generation method is illustrated on a case from portfolio management. In addition, we provide a short overview of the most common scenario-generation methods.|
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