% You need the following packages in the main file to let this entry work:
% \usepackage[english,ngerman]{babel} multilingual support
% \usepackage{url} urls formatting
% \usepackage{hyperref} make url klickable, recommended
% Just put them into the preamble of the main .tex-file.
% You should possibly make some changes to the typography of this entry,
% e.g. quotation marks.
% Which fields of this entry will be shown in the bibliography depends on the bibtex-style, which you use
@incollection{oai:export,
author = {René Henrion and Werner Römisch},
title = {Optimal scenario generation and reduction in stochastic programming},
series = {Stochastic Programming E-Print Series},
year = {2017},
publisher = {Institut für Mathematik},
editor =
{
Julie L.
Higle and Werner
Römisch and Surrajeet
Sen
},
WernerRömischSurrajeetSenabstract = {Scenarios are indispensable ingredients for the numerical solution of stochastic optimization problems. Earlier approaches for optimal scenario generation and reduction are based on stability arguments involving distances of probability measures. In this paper we review those ideas and suggest to make use of stability estimates based on distances containing minimal information, i.e., on data appearing in the optimization model only. For linear two-stage stochastic programs we show that the optimal scenario generation problem can be reformulated as best approximation problem for the expected recourse function and as generalized semi-infinite program, respectively. The latter model turns out to be convex if either right-hand sides or costs are random. We also review the problems of optimal scenario reduction for two-stage models and of optimal scenario generation for chance constrained programs. Finally, we consider scenario generation and reduction for the classical newsvendor problem.},
note = {unpublished}
url = { \url{http://edoc.hu-berlin.de/docviews/abstract.php?id=43452} },
url = { \url{urn:nbn:de:kobv:11-100246221} },
number = {
2},
timestamp = {2017-04-24T12:19:05Z}
}