Approximations for probability distributions and stochastic optimization problems

Pflug, Georg Ch. and Pichler, Alois 2011. Approximations for probability distributions and stochastic optimization problems. Bertocchi, Marida, Consigli, Giorgio and Dempster, Michael A. H., eds. Stochastic Optimization Methods in Finance and Energy, Vol. 163. International Series in Operations Research & Management Science, New York: Springer, pp. 343-387. (10.1007/978-1-4419-9586-5_15)

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Abstract

In this chapter, an overview of the scenario generation problem is given. After an introduction, the basic problem of measuring the distance between two single-period probability models is described in Section 15.2. Section 15.3 deals with finding good single-period scenarios based on the results of the first section. The distance concepts are extended to the multi-period situation in Section 15.4. Finally, Section 15.5 deals with the construction and reduction of scenario trees.

Item Type:	Book Section
Date Type:	Publication
Status:	Published
Schools:	Mathematics
Uncontrolled Keywords:	scenario generation; probability distances; optimal discretizations; scenario trees; nested distributions
Publisher:	Springer
ISBN:	9781441995858
ISSN:	0884-8289
Last Modified:	15 Nov 2016 05:51
URI:	https://orca.cardiff.ac.uk/id/eprint/91100

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