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Scenario reduction revisited: fundamental limits and guarantees
16 references·3 citing·32 second hop
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References

  • 2007Simulation and the Monte Carlo Method2,454 cited
  • 2015Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations1,869 cited
  • 2001Facility location : applications and theory1,281 cited
  • 2003Scenario reduction in stochastic programming1,045 cited
  • 2003Scenario Reduction Algorithms in Stochastic Programming983 cited
  • 2022Distributionally Robust Stochastic Optimization with Wasserstein Distance634 cited
  • 2000Scenario reduction in stochastic programming: An approach using probability metrics512 cited
  • 2001Scenario tree generation for multiperiod financial optimization by optimal discretization337 cited
  • 2018Data-driven risk-averse stochastic optimization with Wasserstein metric325 cited
  • 2018Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls211 cited
  • 2015K-Adaptability in Two-Stage Robust Binary Programming156 cited
  • 2006Financial scenario generation for stochastic multi-stage decision processes as facility location problems153 cited
  • 2007A note on scenario reduction for two-stage stochastic programs152 cited
  • 2002Quantitative Stability in Stochastic Programming: The Method of Probability Metrics129 cited

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  • 1991Stability analysis for stochastic programs100 cited
  • 2016An empirical analysis of scenario generation methods for stochastic optimization95 cited
  • Cited by

    • 2023Problem-driven scenario clustering in stochastic optimization46 cited
    • 2022Optimizing the inventory and fulfillment of an omnichannel retailer: a stochastic approach with scenario clustering21 cited
    • 2021Activity-travel scheduling in stochastic multi-state supernetworks with spatial and temporal correlations6 cited