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Scenario generation for obtaining sound solutions

Abstract

For any optimization problem, the quality of the solution depends heavily on the quality of the input data. In stochastic programming, the input for the models is usually given in the form of scenario trees based on an underlying statistical distribution. We look at examples where the discretization of the underlying distributions gives unstable results that are too optimistic and turn out to be infeasible when tested using the underlying distribution.

Category

Academic lecture

Language

English

Author(s)

Affiliation

  • Unknown
  • SINTEF Digital
  • Molde University College - Specialized University in Logistics

Presented at

INFORMS Annual Meeting 2007

Place

Seattle, Washington

Date

04.11.2007 - 07.11.2007

Organizer

Institute for Operations Research and the Management Science

Year

2007

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