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Title: Discrepancy distances and scenario reduction in two-stage stochastic integer programming
Authors: Henrion, RenéKüchler, ChristianRömisch, 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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