2003-07-14Buch DOI: 10.18452/2928
Evaluation of scenario-generation methods for stochastic programming
Wallace, Stein W.
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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