An empirical analysis of scenario generation methods for stochastic optimization
This work presents an empirical analysis of popular scenario generation methods for stochastic optimization, including quasi-Monte Carlo, moment matching, and methods based on probability metrics, as well as a new method referred to as Voronoi cell sampling. Solution quality is assessed by measuring...
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| Format: | Others |
| Language: | en |
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Elsevier
2016
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| Online Access: | http://epub.wu.ac.at/5594/1/Loehndorf_2016_Scenario_generation.pdf http://dx.doi.org/10.1016/j.ejor.2016.05.021 |