Published Online: 15 FEB 2011
Copyright © 2010 John Wiley & Sons, Inc. All rights reserved.
Wiley Encyclopedia of Operations Research and Management Science
How to Cite
Römisch, W. 2011. Scenario Generation. Wiley Encyclopedia of Operations Research and Management Science. .
- Published Online: 15 FEB 2011
Stability-based methods for scenario generation in stochastic programming are reviewed. In particular, we briefly discuss Monte Carlo sampling, Quasi–Monte Carlo methods, quadrature rules based on sparse grids, and optimal quantization. In addition, we provide some convergence results based on recent developments in multivariate integration. The method of optimal scenario reduction and techniques for scenario trees generation are also reviewed.
- stochastic programming;
- scenario generation;
- scenario tree;
- Quasi–Monte Carlo method;
- scenario redution