A note on scenario reduction for two-stage stochastic programs
نویسندگان
چکیده
We extend earlier work on scenario reduction by relying directly on Fortet–Mourier metrics instead of using upper bounds given in terms of mass transportation problems. The importance of Fortet–Mourier metrics for quantitative stability of twostage models is reviewed and some numerical results are also provided. © 2007 Elsevier B.V. All rights reserved.
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عنوان ژورنال:
- Oper. Res. Lett.
دوره 35 شماره
صفحات -
تاریخ انتشار 2007