Standard Article

Scenario Generation

  1. Werner Römisch

Published Online: 15 FEB 2011

DOI: 10.1002/9780470400531.eorms0745

Wiley Encyclopedia of Operations Research and Management Science

Wiley Encyclopedia of Operations Research and Management Science

How to Cite

Römisch, W. 2011. Scenario Generation. Wiley Encyclopedia of Operations Research and Management Science. .

Author Information

  1. Humboldt-University Berlin, Institute of Mathematics, Berlin, Germany

Publication History

  1. Published Online: 15 FEB 2011

Abstract

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.

Keywords:

  • stochastic programming;
  • scenario generation;
  • scenario tree;
  • Quasi–Monte Carlo method;
  • scenario redution