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13

ORL
2007

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A note on scenario reduction for two-stage stochastic programs

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A note on scenario reduction for two-stage stochastic programs

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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 twostage models is reviewed and some numerical results are also provided. © 2007 Published by Elsevier B.V.

Holger Heitsch, Werner Römisch

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Earlier Work | Fortet–Mourier Metrics | Mass Transportation Problems | ORL 2007 |

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Added	27 Dec 2010
Updated	27 Dec 2010
Type	Journal
Year	2007
Where	ORL
Authors	Holger Heitsch, Werner Römisch

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