caa a22 4500 606233121 CHVBK 20210128101230.0 cr unu---uuuuu 210128e20150401xx s 000 0 eng 10.1007/s10287-015-0230-5 doi (NATIONALLICENCE)springer-10.1007/s10287-015-0230-5 Multi-period forecasting and scenario generation with limited data [Elektronische Daten] [Ignacio Rios, Roger Wets, David Woodruff] Data for optimization problems often comes from (deterministic) forecasts, but it is naïve to consider a forecast as the only future possibility. A more sophisticated approach uses data to generate alternative future scenarios, each with an attached probability. The basic idea is to estimate the distribution of forecast errors and use that to construct the scenarios. Although sampling from the distribution of errors comes immediately to mind, we propose instead to approximate rather than sample. Benchmark studies show that the method we propose works well. Springer-Verlag Berlin Heidelberg, 2015 Stochastic programming nationallicence Scenarios nationallicence Scenario generation nationallicence Scenario trees nationallicence Forecast error distributions nationallicence Rios Ignacio University of Chile, Santiago, Chile aut Wets Roger Mathematics Department, UC Davis, 95616, Davis, CA, USA aut Woodruff David GSM, UC Davis, 95616, Davis, CA, USA aut Computational Management Science Springer Berlin Heidelberg 12/2(2015-04-01), 267-295 1619-697X 12:2<267 2015 12 10287 https://doi.org/10.1007/s10287-015-0230-5 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/s10287-015-0230-5 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Rios Ignacio University of Chile, Santiago, Chile aut NATIONALLICENCE 700 1- Wets Roger Mathematics Department, UC Davis, 95616, Davis, CA, USA aut NATIONALLICENCE 700 1- Woodruff David GSM, UC Davis, 95616, Davis, CA, USA aut NATIONALLICENCE 773 0- Computational Management Science Springer Berlin Heidelberg 12/2(2015-04-01), 267-295 1619-697X 12:2<267 2015 12 10287