Multi-stage stochastic optimization: the distance between stochastic scenario processes
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DOI: 10.1007/s10287-013-0185-3
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- Yuri Ermoliev & Tatiana Ermolieva & Guenther Fischer & Marek Makowski, 2010. "Extreme events, discounting and stochastic optimization," Annals of Operations Research, Springer, vol. 177(1), pages 9-19, June.
- Georg Ch. Pflug & Alois Pichler, 2011. "Approximations for Probability Distributions and Stochastic Optimization Problems," International Series in Operations Research & Management Science, in: Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), Stochastic Optimization Methods in Finance and Energy, edition 1, chapter 0, pages 343-387, Springer.
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- Markéta Horejšová & Sebastiano Vitali & Miloš Kopa & Vittorio Moriggia, 2020. "Evaluation of scenario reduction algorithms with nested distance," Computational Management Science, Springer, vol. 17(2), pages 241-275, June.
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