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Zbl 1017.90068
Dupacová, Jitka; Consigli, Giorgio; Wallace, Stein W.
Scenarios for multistage stochastic programs. (English)
[J] Ann. Oper. Res. 100, 25-53 (2000). ISSN 0254-5330; ISSN 1572-9338/e

Summary: A major issue in any application of multistage stochastic programming is the representation of the underlying random data process. We discuss the case when enough data paths can be generated according to an accepted parametric or nonparametric stochastic model. No assumptions on convexity with respect to the random parameters are required. We emphasize the notion of representative scenarios (or a representative scenario tree) relative to the problem being modeled.

MSC 2000:: *90C15 Stochastic programming
90B50 Multiple-criteria decision making

Keywords: scenarios and scenario trees; clustering; importance sampling; matching moments; problem oriented requirements; inference and bounds

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