Hochreiter, Ronald
Scenario Optimization for Multi-Stage Stochastic Programming Problems
Abstract
The field of multi-stage stochastic programming provides a rich modelling framework to tackle a broad range of real-world decision problems. In order to numerically solve such programs - once they get reasonably large - the infinite-dimensional optimization problem has to be discretized. The stochastic optimization program generally consists of an optimization model and a stochastic model. In the multi-stage case the stochastic model is most commonly represented as a multi-variate stochastic process. The most common technique to calculate an useable discretization is to generate a scenario tree from the underlying stochastic process. In the first part of the talk we take a look at scenario optimization from the viewpoint of a decision taker, to provide rather non-technical insights into the problem. In the second part of the talk we examplify scenario tree generation by reviewing one specific algorithm based on multi-dimensional facility location applying backward stagewise clustering. An example from the area of financial engineering concludes the talk.
BibTeX - Entry
@InProceedings{hochreiter:DagSemProc.05031.26,
author = {Hochreiter, Ronald},
title = {{Scenario Optimization for Multi-Stage Stochastic Programming Problems}},
booktitle = {Algorithms for Optimization with Incomplete Information},
pages = {1--3},
series = {Dagstuhl Seminar Proceedings (DagSemProc)},
ISSN = {1862-4405},
year = {2005},
volume = {5031},
editor = {Susanne Albers and Rolf H. M\"{o}hring and Georg Ch. Pflug and R\"{u}diger Schultz},
publisher = {Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
address = {Dagstuhl, Germany},
URL = {https://drops.dagstuhl.de/opus/volltexte/2005/61},
URN = {urn:nbn:de:0030-drops-614},
doi = {10.4230/DagSemProc.05031.26},
annote = {Keywords: Stochastic programming, scenario generation, facility location, financial engineering}
}
|
Keywords: |
|
Stochastic programming, scenario generation, facility location, financial engineering |
|
Seminar: |
|
05031 - Algorithms for Optimization with Incomplete Information
|
|
Issue date: |
|
2005 |
|
Date of publication: |
|
30.05.2005 |
30.05.2005
