Multi-stage scenario generation by the combined moment matching and scenario reduction method

We describe an opportunity to speed up multi-stage scenario generation and reduction using a combination of two well-known methods: the moment matching method (Hoyland and Wallace, 2001) and the method for scenario reduction to approximately minimize a metric (Heitsch and Romish, 2009). Our suggestion is to combine them rather than using them in serial by making use of a stage-wise approximation to the moment matching algorithm. Computational results show that combining the methods can bring significant benefits. (C) 2014 Elsevier B.V. All rights reserved.