Scenario generation with distribution functions and correlations

Title:

Scenario generation with distribution functions and correlations

Creator:

Kaut, Michal and Lium, Arnt-Gunnar

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:6614d01a-aeb7-45a7-8cca-8c39e0a81a8a
uuid:6614d01a-aeb7-45a7-8cca-8c39e0a81a8a

Subject:

stochastic programming, scenario generation, moment matching, distribution functions, and service network design

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

In this paper, we present a method for generating scenarios for two-stage stochastic programs, using multivariate distributions specified by their marginal distributions and the correlation matrix. The margins are described by their cumulative distribution functions and we allow each margin to be of different type. We demonstrate the method on a model from stochastic service network design and show that it improves the stability of the scenario-generation process, compared to both sampling and a method that matches moments and correlations.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

[1049]-1064

Source:

Kybernetika | 2014 Volume:50 | Number:6

Harvested from:

CDK

Metadata only:

false