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Scenarios for Multistage Stochastic Programs

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Abstract

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.

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Authors and Affiliations

  1. Department of Probability and Mathematical Statistics, Charles University, Sokolovská 83, 186 75, Prague, Czech Republic

    Jitka Dupačová

  2. UBM UniCredit Banca Mobilaire, Via T. Grossi 20, I-20102, Milano, Italy

    Giorgio Consigli

  3. Department of Industrial Economics and Technology Management, Norwegian University of Science and Technology, N-7491, Trondheim, Norway

    Stein W. Wallace

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  1. Jitka Dupačová
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  2. Giorgio Consigli
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  3. Stein W. Wallace
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Dupačová, J., Consigli, G. & Wallace, S.W. Scenarios for Multistage Stochastic Programs. Annals of Operations Research 100, 25–53 (2000). https://doi.org/10.1023/A:1019206915174

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