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Keutchayan et al., 2023 - Google Patents

Problem-driven scenario clustering in stochastic optimization

Keutchayan et al., 2023

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Document ID
10585480404239026349
Author
Keutchayan J
Ortmann J
Rei W
Publication year
Publication venue
Computational Management Science

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Snippet

In stochastic optimisation, the large number of scenarios required to faithfully represent the underlying uncertainty is often a barrier to finding efficient numerical solutions. This motivates the scenario reduction problem: by finding a smaller subset of scenarios, reduce …
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