Discrepancy distances and scenario reduction in two-stage stochastic integer programming
- Henrion, René
- Küchler, Christian
- Römisch, Werner
2010 Mathematics Subject Classification
- Stochastic programming, two-stage, mixed-integer, chance constraints,, scenario reduction, discrepancy, Kolmogorov metric
Polyhedral discrepancies are relevant for the quantitative stability of mixed-integer two-stage and chance constrained stochastic programs. We study the problem of optimal scenario reduction for a discrete probability distribution with respect to certain polyhedral discrepancies and develop algorithms for determining the optimally reduced distribution approximately. Encouraging numerical experience for optimal scenario reduction is provided.
- J. Indust. Management Optim., 4 (2008) pp. 363--384.