| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1007/s10589-015-9758-0 |
| Dynamic generation of scenario trees. | |
| Pflug G; Pichler A | |
| 发表日期 | 2015 |
| 出处 | Computational Optimization and Applications 62 (3): 641-668 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | This paper presents new algorithms for the dynamic generation of scenario trees for multistage stochatic optimization. The different methods described are based on random vectors, which are drawn from conditional distributions given the past nd on sample trajectories. The structure of the tree is not determined beforehand, but dynamically adapted to meet a distance criterion, which measurs the quality of the approximation. The criterion is built on transportation theory, which is extended to stochastic processes. |
| 主题 | Risk & ; Resilience (RISK) ; Risk, Policy and Vulnerability (RPV) |
| 关键词 | decision trees stochastic optimization optimal transportation 90C15 60B05 62P05 |
| URL | http://pure.iiasa.ac.at/id/eprint/11333/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/130281 |
| 推荐引用方式 GB/T 7714 | Pflug G,Pichler A. Dynamic generation of scenario trees.. 2015. |
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