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Discrepancy distances and scenario reduction in two-stage stochastic integer programming
2007, Henrion, René, Küchler, Christian, Römisch, Werner
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.