Discrepancy distances and scenario reduction in two-stage stochastic integer programming
| dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
| dc.bibliographicCitation.volume | 1256 | |
| dc.contributor.author | Henrion, René | |
| dc.contributor.author | Küchler, Christian | |
| dc.contributor.author | Römisch, Werner | |
| dc.date.accessioned | 2016-03-24T17:38:16Z | |
| dc.date.available | 2019-06-28T08:02:39Z | |
| dc.date.issued | 2007 | |
| dc.description.abstract | Polyhedral discrepancies are relevant for the quantitative stability of mixed-integer two-stage and chance constrained stochastic programs. We study the problem of optimal scenario reduction for a discrete probability distribution with respect to certain polyhedral discrepancies and develop algorithms for determining the optimally reduced distribution approximately. Encouraging numerical experience for optimal scenario reduction is provided. | eng |
| dc.description.version | publishedVersion | eng |
| dc.format | application/pdf | |
| dc.identifier.issn | 0946-8633 | |
| dc.identifier.uri | https://doi.org/10.34657/2226 | |
| dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/1889 | |
| dc.language.iso | eng | eng |
| dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | eng |
| dc.relation.issn | 0946-8633 | eng |
| dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
| dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
| dc.subject.ddc | 510 | eng |
| dc.subject.other | Stochastic programming | eng |
| dc.subject.other | two-stage | eng |
| dc.subject.other | mixed-integer | eng |
| dc.subject.other | chance constraints | eng |
| dc.subject.other | scenario reduction | eng |
| dc.subject.other | discrepancy | eng |
| dc.subject.other | Kolmogorov metric | eng |
| dc.title | Discrepancy distances and scenario reduction in two-stage stochastic integer programming | eng |
| dc.type | Report | eng |
| dc.type | Text | eng |
| tib.accessRights | openAccess | eng |
| wgl.contributor | WIAS | eng |
| wgl.subject | Mathematik | eng |
| wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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