This paper deals with the problem of scenario tree reduction for stochastic programming problems. In particular, a reduction method based on cluster analysis is proposed and tested on a portfolio optimization problem. Extensive computational experiments were carried out to evaluate the...

On current electricity markets the electrical utilities are faced with very sophisticated decision making problems under uncertainty. Moreover, when focusing in the short-term management, generation companies must include some medium-term products that directly influence their short-term...

In this study, a static single machine scheduling problem is investigated, where processing times are stochastic, due dates are deterministic and inserted idle time is allowed. Two objective functions are simultaneously taken into account, minimization of mean completion time and minimization of...