G2TT
来源类型Article
规范类型其他
DOI10.1007/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
URLhttp://pure.iiasa.ac.at/id/eprint/11333/
来源智库International Institute for Applied Systems Analysis (Austria)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/130281
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GB/T 7714
Pflug G,Pichler A. Dynamic generation of scenario trees.. 2015.
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