Stochastic programming and scenario generation within a simulation framework: An information systems perspective

Stochastic programming and scenario generation within a simulation framework: An information systems perspective

Stochastic Programming brings together models of optimum resource allocation and models of randomness to create a robust decision making framework. The models of randomness with their finite, discrete realisations are called Scenario Generators. In a compendium report we have considered the modelling perspective of Scenario Generation and its integration within Stochastic Programming. In this p...

Scenario generation in stochastic programming

Stability-based methods for scenario generation in stochastic programming are reviewed. In particular, we briefly discuss Monte Carlo sampling, Quasi-Monte Carlo methods, quadrature rules based on sparse grids and optimal quantization. In addition, we provide some convergence results based on recent developments in multivariate integration. The method of optimal scenario reduction and technique...

A White Paper on Scenario Generation for Stochastic Programming

Scenario generation and stochastic programming models for asset liability management

In this paper we develop and test scenario generation methods for asset liability management models. We propose a multi-stage stochastic programming model for a Dutch pension fund. Both randomly sampled event trees and event trees tting the mean and the covariance of the return distribution are used for generating the coeecients of the stochastic program. In order to investigate the performance...

Optimal scenario generation and reduction in stochastic programming

Scenarios are indispensable ingredients for the numerical solution of stochastic optimization problems. Earlier approaches for optimal scenario generation and reduction are based on stability arguments involving distances of probability measures. In this paper we review those ideas and suggest to make use of stability estimates based on distances containing minimal information, i.e., on data ap...