Browsing NHH Brage by Author "Fairbrother, Jamie"

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Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure

Fairbrother, Jamie; Turner, Amanda; Wallace, Stein William (Journal article; Peer reviewed, 2019)

Scenario generation is the construction of a discrete random vector to represent parameters of uncertain values in a stochastic program. Most approaches to scenario generation are distribution-driven, that is, they attempt ...