A moment-matching method to generate arbitrage-free scenarios
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DOI: 10.1016/j.ejor.2015.04.045
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- Lee, Jinkyu & Bae, Sanghyeon & Kim, Woo Chang & Lee, Yongjae, 2023. "Value function gradient learning for large-scale multistage stochastic programming problems," European Journal of Operational Research, Elsevier, vol. 308(1), pages 321-335.
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Keywords
Scenarios; Monomial method; Moment-matching;All these keywords.
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