Discrepancy distances and scenario reduction in two-stage stochastic mixed-integer programming
| Autor: | René Henrion, Werner Römisch, Christian Küchler |
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| Rok vydání: | 2008 |
| Předmět: |
Mathematical optimization
Control and Optimization Distribution (number theory) Applied Mathematics Strategy and Management Constraint satisfaction Atomic and Molecular Physics and Optics Stochastic programming Reduction (complexity) Constraint logic programming Probability distribution Stage (hydrology) Business and International Management Electrical and Electronic Engineering Integer programming Mathematics |
| Zdroj: | Journal of Industrial & Management Optimization. 4:363-384 |
| ISSN: | 1553-166X |
| Popis: | Polyhedral discrepancies are relevant for the quantitative stability of mixed-integer two-stage and chance constrained stochastic programs. We study the problem of optimal scenario reduction for a discrete probability distribution with respect to certain polyhedral discrepancies and develop algorithms for determining the optimally reduced distribution approximately. Encouraging numerical experience for optimal scenario reduction is provided. |
| Databáze: | OpenAIRE |
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