Multiscale stochastic optimization: modeling aspects and scenario generation

Glanzer, Martin ; Pflug, Georg Ch.

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URN: urn:nbn:de:bsz:180-madoc-644682
Document Type: Article
Year of publication: 2020
The title of a journal, publication series: Computational Optimization and Applications
Volume: 75
Issue number: 1
Page range: 1-34
Place of publication: New York, NY [u.a.]
Publishing house: Springer Science + Business Media
ISSN: 0926-6003 , 1573-2894
Publication language: English
Institution: Business School > Operations Management (Juniorprofessur) (Glanzer 2023-)
Pre-existing license: Creative Commons Attribution 4.0 International (CC BY 4.0)
Subject: 510 Mathematics
Keywords (English): stochastic programming , scenario generation , bridge process , stochastic bridge , diffusion bridge , Lévy bridge , compound poisson bridge , simulation of stochastic bridge , multiple time scales , multi-horizon , multistage stochastic optimization

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BASE: Glanzer, Martin ; Pflug, Georg Ch.

Google Scholar: Glanzer, Martin ; Pflug, Georg Ch.

ORCID: Glanzer, Martin ORCID: 0000-0003-3314-0512 ; Pflug, Georg Ch.

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