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On scenario construction for stochastic shortest path problems in real road networks

Zhang, Dongqing; Wallace, Stein W.; Guo, Zhaoxia; Dong, … - In: Transportation research / E : an international journal 152 (2021), pp. 1-25

Persistent link: https://www.econbiz.de/10012648764

Scenario tree construction driven by heuristic solutions of the optimization problem

Prochazka, Vit; Wallace, Stein W. - In: Computational management science 17 (2020) 2, pp. 277-307

Persistent link: https://www.econbiz.de/10012272066

A copula-based heuristic for scenario generation

Kaut, Michal - In: Computational Management Science : CMS 11 (2014) 4, pp. 503-516

Persistent link: https://www.econbiz.de/10010437136

Scenario generation by selection from historical data

Kaut, Michal - In: Computational management science 18 (2021) 3, pp. 411-429

Persistent link: https://www.econbiz.de/10012615147

A copula-based heuristic for scenario generation

Kaut, Michal - In: Computational Management Science 11 (2014) 4, pp. 503-516

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...

Persistent link: https://www.econbiz.de/10010949669

Shape-based scenario generation using copulas

Kaut, Michal; Wallace, Stein - In: Computational Management Science 8 (2011) 1, pp. 181-199

Persistent link: https://www.econbiz.de/10008925145