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A Novel Method For Multistage Scenario Generation Based On Cluster Analysis

Author

Listed:
  • XIAODONG JI

    (College of Business, Hebei Normal University, Shijiazhuang, Hebei 050091, China)

  • XIUJUAN ZHAO

    (School of Economics and Management, Beihang University, Beijing 100083, China)

  • XIULI CHAO

    (Edward P. Fitts Department of Industrial Engineering, North Carolina State University, Raleigh NC 27695, USA)

Abstract

Based on cluster analysis, a novel method is introduced in this paper to generate multistage scenarios. A linear programming model is proposed to exclude the arbitrage opportunity by appending a scenario to the generated scenario set. By means of a cited stochastic linear goal programming portfolio model, a case is given to exhibit the virtues of this scenario generation approach.

Suggested Citation

  • Xiaodong Ji & Xiujuan Zhao & Xiuli Chao, 2006. "A Novel Method For Multistage Scenario Generation Based On Cluster Analysis," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 513-530.
    • Handle: RePEc:wsi:ijitdm:v:05:y:2006:i:03:n:s0219622006002106
    DOI: 10.1142/S0219622006002106
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    Cited by:

    1. Yousra Tourki & Jeffrey Keisler & Igor Linkov, 2013. "Scenario analysis: a review of methods and applications for engineering and environmental systems," Environment Systems and Decisions, Springer, vol. 33(1), pages 3-20, March.

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