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| File | Size | Format | |
|---|---|---|---|
| 546401341.pdf | 916,31 kB | Adobe PDF | View/Open |
| Title: | Discrepancy distances and scenario reduction in two-stage stochastic integer programming |
| Authors: | Henrion, René; Küchler, Christian; Römisch, Werner |
| Issue Date: | 2007 |
| Published in: | Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik , Volume 1256, ISSN 0946-8633 |
| Publisher: | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik |
| Abstract: | 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. |
| Keywords: | Stochastic programming; two-stage; mixed-integer; chance constraints; scenario reduction; discrepancy; Kolmogorov metric |
| DDC: | 510 |
| License: | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. |
| Appears in Collections: | Mathematik |
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