Data-driven multi-stage scenario tree generation via statistical property and distribution matching

نویسندگان

  • Bruno A. Calfa
  • Anshul Agarwal
  • Ignacio E. Grossmann
  • John M. Wassick
چکیده

The objective of this paper is to bring systematic methods for scenario tree generation to the attention of the Process Systems Engineering community. In this paper, we focus on a general, data-driven optimization-based method for generating scenario trees, which does not require strict assumptions on the probability distributions of the uncertain parameters. This method is based on the Moment Matching Problem (MMP), originally proposed by Høyland & Wallace (2001). In addition to matching moments, and in order to cope with potentially under-specified MMP, we propose matching (Empirical) Cumulative Distribution Function information of the uncertain parameters. The new method gives rise to a Distribution Matching Problem (DMP) that is aided by predictive analytics. We present two approaches for generating multi-stage scenario trees by considering time series modeling and forecasting. The aforementioned techniques are illustrated with a motivating production planning problem with uncertainty in production yield and correlated product demands.

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Stochastic Extensions to FlopC++

We extend the open-source modelling language FlopC++, which is part of the COIN-OR project, to support multi-stage stochastic programs with recourse. We connect the stochastic version of FlopC++ to the existing COIN class stochastic modelling interface (SMI) to provide a direct interface to specialized solution algorithms. The new stochastic version of FlopC++ can be used to specify scenariobas...

متن کامل

Financial scenario generation for stochastic multi-stage decision processes as facility location problems

The quality of multi-stage stochastic optimization models as they appear in asset liability management, energy planning, transportation, supply chain management, and other applications depends heavily on the quality of the underlying scenario model, describing the uncertain processes influencing the profit/cost function, such as asset prices and liabilities, the energy demand process, demand fo...

متن کامل

Two-stage portfolio optimization with higher-order conditional measures of risk

OF THE DISSERTATION Two-Stage Portfolio Optimization with Higher-Order Conditional Measures of Risk by Sıtkı Gülten Dissertation Director: Dr. Andrzej Ruszczyński In this study, an application of novel risk modeling and optimization techniques to daily portfolio management will be described. In the first part, I develop and compare specialized methods for scenario generation and scenario tree c...

متن کامل

A Multi-Stage Stochastic Programming Approach for Production Planning with Uncertainty in the Quality of Raw Materials and Demand

Motivated by the challenges encountered in sawmill production planning, we study a multi-product, multi-period production planning problem with uncertainty in the quality of raw materials and consequently in processes yields, as well as uncertainty in products demands. As demand and yield own different uncertain natures, they are modeled separately and then integrated. Demand uncertainty is con...

متن کامل

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 (Høyland and Wallace 2001) and the method for scenario reduction to approximately minimize a metric (Heitsch and Römish 2009). Our suggestions is to combine them rather than using them in serial by making use of a stage-wise approximation...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:
  • Computers & Chemical Engineering

دوره 68  شماره 

صفحات  -

تاریخ انتشار 2014