Browsing Preprints aus dem Institut für Mathematik by Subject "scenario reduction"

Now showing items 1-3 of 3

2005-11-04Buch

Scenario Reduction Algorithms in Stochastic Programming

Heitsch, Holger; Römisch, Werner

We consider convex stochastic programs with an (approximate) initial probability distribution P having finite support supp P, i.e., finitely many scenarios. Such stochastic programs behave stable with respect to perturbations ...
2005-11-07Buch

Scenario Reduction in Stochastic Programming

Dupacová, Jitka; Gröwe-Kuska, Nicole; Römisch, Werner

Given a convex stochastic programming problem with a discrete initial probability distribution, the problem of optimal scenario reduction is stated as follows: Determine a scenario subset of prescribed cardinality and a ...
2006-08-02Buch

Scenario tree modelling for multistage stochastic programs

Heitsch, Holger; Römisch, Werner

An important issue for solving multistage stochastic programs consists in the approximate representation of the (multivariate) stochastic input process in the form of a scenario tree. In this paper, forward and backward ...