Computational Management Science

, Volume 11, Issue 4, pp 503–516 | Cite as

A copula-based heuristic for scenario generation

Original paper

Abstract

This paper presents a new heuristic for generating scenarios for two-stage stochastic programs. The method uses copulas to describe the dependence between the marginal distributions, instead of the more common correlations. The heuristic is then tested on a simple portfolio-selection model, and compared to two other scenario-generation methods.

Keywords

Stochastic programming Scenario generation Copulas 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  1. 1.Department of Industrial Economics and Technology ManagementNorwegian University of Science and Technology (NTNU)TrondheimNorway
  2. 2.Department of Applied Economics and Operations ResearchSINTEF Technology and SocietyTrondheimNorway

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