|edoc-Server der Humboldt-Universität zu Berlin|
Holger Heitsch, Humboldt-University|
Werner Römisch, Humboldt-University
|Title:||Scenario tree reduction for multistage stochastic programs|
|Date of Acceptance:||05.04.2008|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10087775)|
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
|print on demand: If you click on this icon you can order a print copy of this publication.|
|Diese Seite taggen: These icons lead to social bookmarking systems where you can create and manage personal bookmarks and discover bookmakrs of other users.|
|A framework for the reduction of scenario trees as inputs of (linear) multistage stochastic programs is provided such that optimal values and approximate solution sets remain close to each other. The argument is based on upper bounds of the $L_r$-distance and the ﬁltration distance, and on quantitative stability results for multistage stochastic programs. The important difference from scenario reduction in two-stage models consists in incorporating the ﬁltration distance. An algorithm is presented for selecting and removing nodes of a scenario tree such that a prescribed error tolerance is met. Some numerical experience is reported.|
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.
Gesamtzahl der Zugriffe seit May 2011: