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A Heuristic for Moment-Matching Scenario Generation
2 references·16 citing·45 second hop
A Heuristic for Moment-Matching Scenario Generation (2003)A Heuristic for Moment-Matching Scenario …Generating Scenario Trees for Multistage Decision Problems (2001)Generating Scenario Trees for…Simulating Multivariate Nonnormal Distributions (1983)Simulating Multivariate Nonno…An empirical analysis of scenario generation methods for stochastic optimization (2016)An empirical analysis of scen…Optimal scenario reduction framework based on distance of uncertainty distribution and output performance: I. 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References

  • 2001Generating Scenario Trees for Multistage Decision Problems674 cited
  • 1983Simulating Multivariate Nonnormal Distributions447 cited

Cited by

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  • 2014Monte Carlo sampling-based methods for stochastic optimization286 cited
  • 2009Correlation control in small-sample Monte Carlo type simulations I: A simulated annealing approach211 cited
  • 2008Scenario tree reduction for multistage stochastic programs183 cited
  • 2011Progressive hedging‐based metaheuristics for stochastic network design139 cited
  • 2006A dynamic stochastic programming model for international portfolio management111 cited
  • 2008Product variety arising from hedging in the fashion supply chains108 cited
  • 2009A simple heuristic for reducing the number of scenarios in two-stage stochastic programming105 cited
  • 2013Scenario grouping in a progressive hedging-based meta-heuristic for stochastic network design103 cited
  • 2006Stochastic programming and scenario generation within a simulation framework: An information systems perspective102 cited
  • 2016An empirical analysis of scenario generation methods for stochastic optimization95 cited
  • 2007Stability analysis of portfolio management with conditional value-at-risk

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80 cited
  • 2006A stochastic programming model for asset liability management of a Finnish pension company76 cited
  • 2009The impact of flexibility on operational supply chain planning74 cited
  • 2014Optimal scenario reduction framework based on distance of uncertainty distribution and output performance: I. Single reduction via mixed integer linear optimization74 cited
  • 2006Clustering algorithms for scenario tree generation: Application to natural hydro inflows73 cited