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Annals of Operations Research

, Volume 100, Issue 1–4, pp 25–53 | Cite as

Scenarios for Multistage Stochastic Programs

  • Jitka Dupačová
  • Giorgio Consigli
  • Stein W. Wallace
Article

Abstract

A major issue in any application of multistage stochastic programming is the representation of the underlying random data process. We discuss the case when enough data paths can be generated according to an accepted parametric or nonparametric stochastic model. No assumptions on convexity with respect to the random parameters are required. We emphasize the notion of representative scenarios (or a representative scenario tree) relative to the problem being modeled.

scenarios and scenario trees clustering importance sampling matching moments problem oriented requirements inference and bounds 

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Copyright information

© Kluwer Academic Publishers 2000

Authors and Affiliations

  • Jitka Dupačová
    • 1
  • Giorgio Consigli
    • 2
  • Stein W. Wallace
    • 3
  1. 1.Department of Probability and Mathematical StatisticsCharles UniversityPragueCzech Republic
  2. 2.UBM UniCredit Banca MobilaireMilanoItaly
  3. 3.Department of Industrial Economics and Technology ManagementNorwegian University of Science and TechnologyTrondheimNorway

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