Scenario reduction in stochastic programming with respect to discrepancy distances.
René HenrionChristian KüchlerWerner RömischPublished in: Comput. Optim. Appl. (2009)
Keyphrases
- stochastic programming
- multistage
- chance constrained
- linear program
- capacity planning
- asset liability management
- decision making under uncertainty
- robust optimization
- power generation
- distance function
- linear programming
- risk averse
- distance measure
- case based reasoning
- evolutionary algorithm
- optimal solution
- feature selection