-

 

 

 




Optimization Online





 

Dynamic Generation of Scenario Trees

G. Ch. Pflug(georg.pflug***at***univie.ac.at)
A. Pichler(alois.pichler***at***univie.ac.at)

Abstract: We present new algorithms for the dynamic generation of scenario trees for multistage stochastic optimization. The different methods described are based on random vectors, which are drawn from conditional distributions given the past and on sample trajectories. The structure of the tree is not determined beforehand, but dynamically adapted to meet a distance criterion, which insures the quality of the approximation. The criterion is built on transportation theory, which is extended to stochastic processes.

Keywords: Decision trees, stochastic optimization, optimal transportation

Category 1: Stochastic Programming

Citation:

Download: [PDF]

Entry Submitted: 09/03/2014
Entry Accepted: 09/03/2014
Entry Last Modified: 09/03/2014

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