caa a22 4500 606232915 CHVBK 20210128101229.0 cr unu---uuuuu 210128e20150101xx s 000 0 eng 10.1007/s10287-013-0185-3 doi (NATIONALLICENCE)springer-10.1007/s10287-013-0185-3 Timonina Anna Department of Statistics and Operations Research, University of Vienna, Universitätsstrasse, 5, 1010, Vienna, Austria aut Multi-stage stochastic optimization: the distance between stochastic scenario processes [Elektronische Daten] [Anna Timonina] Approximation techniques are challenging, important and very often irreplaceable solution methods for multi-stage stochastic optimization programs. Applications for scenario process approximation include financial and investment planning, inventory control, energy production and trading, electricity generation planning, pension fund management, supply chain management and similar fields. In multi-stage stochastic optimization problems the amount of stage-wise available information is crucial. While some authors deal with filtration distances, in this paper we consider the concepts of nested distributions and their distances which allows to keep the setup purely distributional but at the same time to introduce information and information constraints. Also we introduce the distance between stochastic process and a tree and we generalize the concept of nested distance for the case of infinite trees, i.e. for the case of two stochastic processes given by their continuous distributions. We are making a step towards to a new method for distribution quantization that is the most suitable for multi-stage stochastic optimization programs as it takes into account both the stochastic process and the stage-wise information. Springer-Verlag Berlin Heidelberg, 2013 Computational Management Science Springer Berlin Heidelberg 12/1(2015-01-01), 171-195 1619-697X 12:1<171 2015 12 10287 https://doi.org/10.1007/s10287-013-0185-3 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s10287-013-0185-3 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Timonina Anna Department of Statistics and Operations Research, University of Vienna, Universitätsstrasse, 5, 1010, Vienna, Austria aut NATIONALLICENCE 773 0- Computational Management Science Springer Berlin Heidelberg 12/1(2015-01-01), 171-195 1619-697X 12:1<171 2015 12 10287