Evaluation of scenario reduction algorithms with nested distance
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DOI: 10.1007/s10287-020-00375-4
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- Anna Timonina, 2015. "Multi-stage stochastic optimization: the distance between stochastic scenario processes," Computational Management Science, Springer, vol. 12(1), pages 171-195, January.
- Miloš Kopa & Vittorio Moriggia & Sebastiano Vitali, 2018. "Individual optimal pension allocation under stochastic dominance constraints," Annals of Operations Research, Springer, vol. 260(1), pages 255-291, January.
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Cited by:
- Alois Pichler & Michael Weinhardt, 2022. "The nested Sinkhorn divergence to learn the nested distance," Computational Management Science, Springer, vol. 19(2), pages 269-293, June.
- Li, Wei & Paraschiv, Florentina, 2022. "Modelling the evolution of wind and solar power infeed forecasts," Journal of Commodity Markets, Elsevier, vol. 25(C).
- Alkhaleel, Basem A. & Liao, Haitao & Sullivan, Kelly M., 2022. "Risk and resilience-based optimal post-disruption restoration for critical infrastructures under uncertainty," European Journal of Operational Research, Elsevier, vol. 296(1), pages 174-202.
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Keywords
Nested distance; Multistage stochastic optimization; Scenario tree reduction; Nodal clustering;All these keywords.
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