Scenario Generation
نویسنده
چکیده
Stability-based methods for scenario generation in stochastic programming arereviewed. 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 someconvergence results based on recent developments in multivariate integration. The method ofoptimal scenario reduction and techniques for scenario trees generation are also reviewed.
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