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The Impact of Uncertainty on the European Energy Market : A Scenario Aggregation Approach

Brekke, Kjell Arne - 2013

We present a simple approach to transform a deterministic numerical model, where several agents simultaneously make decisions, into a stochastic model. This approach, which builds on scenario aggregation, a numerical method developed to solve decision problems under uncertainty, is used to build...

Persistent link: https://www.econbiz.de/10013072087

Shape-based scenario generation using copulas

Kaut, Michal; Wallace, Stein W. - In: Computational Management Science : CMS 8 (2011) 1/2, pp. 181-199

Persistent link: https://www.econbiz.de/10008992037

The impact of uncertainty on the European energy market : a scenario aggregation approach

Brekke, Kjell Arne; Golombek, Rolf; Kaut, Michal; … - 2013

Persistent link: https://www.econbiz.de/10010212655

Stability analysis of portfolio management with conditional value-at-risk

Kaut, Michal; Valdimirou, Hercules; Wallace, Stein W.; … - In: Quantitative fund management, (pp. 315-335). 2009

Persistent link: https://www.econbiz.de/10003797005

Stochastic programs with binary distributions : structural properties of scenario trees and algorithms

Prochazka, Vit; Wallace, Stein W. - 2017

Persistent link: https://www.econbiz.de/10011752681

On scenario construction for stochastic shortest path problems in real road networks

Zhang, Dongqing; Wallace, Stein W.; Guo, Zhaoxia; Dong, … - In: Transportation research / E : an international journal 152 (2021), pp. 1-25

Persistent link: https://www.econbiz.de/10012648764

Scenario tree construction driven by heuristic solutions of the optimization problem

Prochazka, Vit; Wallace, Stein W. - In: Computational management science 17 (2020) 2, pp. 277-307

Persistent link: https://www.econbiz.de/10012272066

Soft clustering-based scenario bundling for a progressive hedging heuristic in stochastic service network design

Jiang, Xiaoping; Bai, Ruibin; Wallace, Stein W.; … - In: Computers & operations research : and their … 128 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012439869

Problem-based scenario generation by decomposing output distributions

Narum, Benjamin S.; Fairbrother, Jamie; Wallace, Stein W. - In: European journal of operational research : EJOR 318 (2024) 1, pp. 154-166

Persistent link: https://www.econbiz.de/10015047693