Scenario Generation for Stochastic Programming
by Dr Michal Kaut (SINTEF, Trondheim, Norway)
2pm, A54 PSC
In this talk, we will look at generating scenarios for stochastic-programming models. We start from the beginning, discussing why we need scenarios and what do we expect of them. Then we move to the question of evaluating the quality of scenarios---and therefore, indirectly, scenario-generation methods, before we finish with a very short presentation of some of the common approaches to scenario generation.