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.
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Notes
- 1.
The programming of these examples was done by R. Hochreiter.
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Pflug, G.C., Pichler, A. (2011). Approximations for Probability Distributions and Stochastic Optimization Problems. In: Bertocchi, M., Consigli, G., Dempster, M. (eds) Stochastic Optimization Methods in Finance and Energy. International Series in Operations Research & Management Science, vol 163. Springer, New York, NY. https://doi.org/10.1007/978-1-4419-9586-5_15
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