Scenarios for multistage stochastic programs. (English) Zbl 1017.90068

Dupacová, Jitka; Consigli, Giorgio; Wallace, Stein W.

Ann. Oper. Res. 100, 25-53 (2000).

Summary: A major issue in any application of multistage stochastic programming is the representation of the underlying random data process. We discuss the case when enough data paths can be generated according to an accepted parametric or nonparametric stochastic model. No assumptions on convexity with respect to the random parameters are required. We emphasize the notion of representative scenarios (or a representative scenario tree) relative to the problem being modeled.

MSC:

90C15	Stochastic programming
90B50	Management decision making, including multiple objectives

Keywords:

scenarios and scenario trees; clustering; importance sampling; matching moments; problem oriented requirements; inference and bounds