Scenario generation with distribution functions and correlations
| Autor: | Michal Kaut, Arnt-Gunnar Lium |
|---|---|
| Rok vydání: | 2015 |
| Předmět: |
Mathematical optimization
Multivariate statistics Covariance matrix Cumulative distribution function Sampling (statistics) Stability (probability) Stochastic programming Theoretical Computer Science Artificial Intelligence Control and Systems Engineering Margin (machine learning) Applied mathematics Electrical and Electronic Engineering Marginal distribution Software Information Systems Mathematics |
| Zdroj: | Kybernetika. :1049-1064 |
| ISSN: | 1805-949X 0023-5954 |
| DOI: | 10.14736/kyb-2014-6-1049 |
| Popis: | In this paper, we present a method for generating scenarios for two-stage stochastic programs, using multivariate distributions specified by their marginal distributions and the correlation matrix. The margins are described by their cumulative distribution functions and we allow each margin to be of different type. We demonstrate the method on a model from stochastic service network design and show that it improves the stability of the scenario-generation process, compared to both sampling and a method that matches moments and correlations. |
| Databáze: | OpenAIRE |
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