Article ID Journal Published Year Pages File Type
1143147 Operations Research Letters 2007 8 Pages PDF
Abstract

We extend earlier work on scenario reduction by relying directly on Fortet–Mourier metrics instead of using upper bounds given in terms of mass transportation problems. The importance of Fortet–Mourier metrics for quantitative stability of two-stage models is reviewed and some numerical results are also provided.

Keywords
Related Topics
Physical Sciences and Engineering Mathematics Discrete Mathematics and Combinatorics
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A note on scenario reduction for two-stage stochastic programs
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