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321,611
Copula Effect on Scenario Tree
"... Abstract—Multistage stochastic programs are effective for solving longterm planning problems under uncertainty. Such programs are usually based on scenario generation model about future environment developments. In the present paper, the scenario model is developed for the case when enough data pat ..."
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paths can be generated, but due to solvability of stochastic program the scenario tree has to be constructed. The proposed strategy is to generate multistage scenario tree from the set of individual scenarios by bundling scenarios based on cluster analysis. The Kmeans clustering approach is modified
THE EFFECT OF COPULA ON SCENARIO TREE STRUCTURE
"... The multistage stochastic programs can be solved if the underlying stochastic process is approximated by a scenario tree. The correlation matrix is usually used to describe the dependence between the stochastic variables in a multivariate structure. Due to assumptions of using the Pearson’s correlat ..."
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The multistage stochastic programs can be solved if the underlying stochastic process is approximated by a scenario tree. The correlation matrix is usually used to describe the dependence between the stochastic variables in a multivariate structure. Due to assumptions of using the Pearson’s
Optimal Scenario Tree Generation for Multiperiod Financial Optimization
, 1998
"... Multiperiod financial optimization is usually based on a scenario model for the possible market situations. Whereas there is a rich literature about modelling and estimation of financial processes, the scenario tree is typically constructed in an adhoc manner. (For interestrate trees consistency w ..."
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Cited by 74 (2 self)
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Multiperiod financial optimization is usually based on a scenario model for the possible market situations. Whereas there is a rich literature about modelling and estimation of financial processes, the scenario tree is typically constructed in an adhoc manner. (For interestrate trees consistency
Decomposition of multistage stochastic programs with recombining scenario trees
, 2007
"... This paper presents a decomposition approach for linear multistage stochastic programs, that is based on the concept of recombining scenario trees. The latter, widely applied in Mathematical Finance, may prevent the node number of the scenario tree to grow exponentially with the number of time stage ..."
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Cited by 14 (4 self)
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This paper presents a decomposition approach for linear multistage stochastic programs, that is based on the concept of recombining scenario trees. The latter, widely applied in Mathematical Finance, may prevent the node number of the scenario tree to grow exponentially with the number of time
Scenario tree reduction for multistage stochastic programs
 Computational Management Science 6(2
, 2009
"... A framework for the reduction of scenario trees as inputs of (linear) multistage stochastic programs is provided such that optimal values and approximate solution sets remain close to each other. The argument is based on upper bounds of the Lrdistance and the filtration distance, and on quantitati ..."
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Cited by 18 (3 self)
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A framework for the reduction of scenario trees as inputs of (linear) multistage stochastic programs is provided such that optimal values and approximate solution sets remain close to each other. The argument is based on upper bounds of the Lrdistance and the filtration distance
Stability and scenario trees for multistage stochastic programs
 Stochastic Programming  The State of the Art
, 2007
"... By extending the stability analysis of [20] for multistage stochastic programs we show that their (approximate) solution sets behave stable with respect to the sum of an Lrdistance and a filtration distance. Based on such stability results we suggest a scenario tree generation method for the (multi ..."
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Cited by 9 (5 self)
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By extending the stability analysis of [20] for multistage stochastic programs we show that their (approximate) solution sets behave stable with respect to the sum of an Lrdistance and a filtration distance. Based on such stability results we suggest a scenario tree generation method
Scenario Tree Generation by Clustering the Simulated Data paths
 Proceedings of 21st European conference on modeling and simulation
, 2007
"... Multistage stochastic programs are effective for solving longterm planning problems under uncertainty. Such programs are usually based on a scenario model of future environment developments. A good approximation of the underlying stochastic process may involve a very large number of scenarios and t ..."
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Cited by 2 (0 self)
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and their probabilities. We discuss the case when enough data paths can be generated, but due to solvability of stochastic program the scenario tree has to be constructed. The proposed strategy is to generate the multistage scenario tree from the set of individual scenarios by bundling scenarios based on cluster analysis
OPTIMAL SCENARIO TREE REDUCTION FOR FINANCIAL OPTIMIZATION PROBLEMS
"... ABSTRACT: The solution of a multistage stochastic programming problem needs a suitable representation of uncertainty which may be obtained through a satisfactory scenario tree construction. Unfortunately there is a tradeoff between the level of accuracy in the description of the stochastic componen ..."
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ABSTRACT: The solution of a multistage stochastic programming problem needs a suitable representation of uncertainty which may be obtained through a satisfactory scenario tree construction. Unfortunately there is a tradeoff between the level of accuracy in the description of the stochastic
Scenario reduction and scenario tree construction for power management problems
 Power Management Problems, IEEE Bologna Power Tech Proceedings
, 2003
"... Abstract — Portfolio and risk management problems of power utilities may be modeled by multistage stochastic programs. These models use a set of scenarios and corresponding probabilities to model the multivariate random data process (electrical load, stream flows to hydro units, and fuel and electri ..."
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Cited by 41 (4 self)
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determine a subset of the initial scenario set and assign new probabilities to the preserved scenarios. The scenario tree construction algorithms successively reduce the number of nodes of a fan of individual scenarios by modifying the tree structure and by bundling similar scenarios. Numerical experience
Induction of Decision Trees
 MACH. LEARN
, 1986
"... The technology for building knowledgebased systems by inductive inference from examples has been demonstrated successfully in several practical applications. This paper summarizes an approach to synthesizing decision trees that has been used in a variety of systems, and it describes one such syste ..."
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Cited by 4303 (4 self)
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The technology for building knowledgebased systems by inductive inference from examples has been demonstrated successfully in several practical applications. This paper summarizes an approach to synthesizing decision trees that has been used in a variety of systems, and it describes one
Results 1  10
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321,611