Problem-based optimal scenario generation and reduction in stochastic programming.
René HenrionWerner RömischPublished in: Math. Program. (2022)
Keyphrases
- stochastic programming
- multistage
- chance constrained
- linear program
- multistage stochastic
- capacity planning
- asset liability management
- decision making under uncertainty
- optimal solution
- optimal strategy
- power generation
- robust optimization
- dynamic programming
- cooperative
- decision problems
- worst case
- case based reasoning