-

 

 

 




Optimization Online





 

A copula-based heuristic for scenario generation

Michal Kaut (michal.kaut***at***sintef.no)

Abstract: This paper presents a new heuristic for generating scenarios for two-stage stochastic programs. The method uses copulas to describe the dependence between the marginal distributions, instead of the more common correlations. The heuristic is then tested on a simple portfolio-selection model, and compared to two other scenario-generation methods.

Keywords: stochastic programming, scenario generation, copulas

Category 1: Stochastic Programming

Citation: Published in Computational Management Science, 11 (4), pp. 503-516, 2014. DOI:10.1007/s10287-013-0184-4

Download: [PDF]

Entry Submitted: 09/16/2011
Entry Accepted: 09/16/2011
Entry Last Modified: 03/10/2017

Modify/Update this entry


  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository

 

Submit
Update
Policies
Coordinator's Board
Classification Scheme
Credits
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Optimization Society