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Scenario tree reduction for multistage stochastic programs

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  • Holger Heitsch
  • Werner Römisch

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  • Holger Heitsch & Werner Römisch, 2009. "Scenario tree reduction for multistage stochastic programs," Computational Management Science, Springer, vol. 6(2), pages 117-133, May.
    • Handle: RePEc:spr:comgts:v:6:y:2009:i:2:p:117-133
    DOI: 10.1007/s10287-008-0087-y
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    References listed on IDEAS

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    1. Jitka Dupačová & Giorgio Consigli & Stein Wallace, 2000. "Scenarios for Multistage Stochastic Programs," Annals of Operations Research, Springer, vol. 100(1), pages 25-53, December.
    2. Michael S. Casey & Suvrajeet Sen, 2005. "The Scenario Generation Algorithm for Multistage Stochastic Linear Programming," Mathematics of Operations Research, INFORMS, vol. 30(3), pages 615-631, August.
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