Journal
COMPUTATIONAL MANAGEMENT SCIENCE
Volume 18, Issue 3, Pages 411-429Publisher
SPRINGER HEIDELBERG
DOI: 10.1007/s10287-021-00399-4
Keywords
Stochastic programming; Scenario generation
Categories
Funding
- project Assessment of the Value of Flexibility Services from the Norwegian Energy System (ASSETS), a Norwegian Research Council [268097]
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This paper presents and compares several methods for generating scenarios for stochastic-programming models by direct selection from historical data, showing how to use them when selecting whole sequences from the data instead of single data points.
In this paper, we present and compare several methods for generating scenarios for stochastic-programming models by direct selection from historical data. The methods range from standard sampling and k-means, through iterative sampling-based selection methods, to a new moment-based optimization approach. We compare the models on a simple portfolio-optimization model and show how to use them in a situation when we are selecting whole sequences from the data, instead of single data points.
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