Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10523948 | Operations Research Letters | 2014 | 4 Pages |
Abstract
We describe an opportunity to speed up multi-stage scenario generation and reduction using a combination of two well-known methods: the moment matching method (Høyland and Wallace, 2001) and the method for scenario reduction to approximately minimize a metric (Heitsch and Römish, 2009). Our suggestion is to combine them rather than using them in serial by making use of a stage-wise approximation to the moment matching algorithm. Computational results show that combining the methods can bring significant benefits.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Uladzimir Rubasheuski, Johan Oppen, David L. Woodruff,