This white paper surveys stochastic programming scenario generation methods. We introduce the basic concepts relating to scenario generation, the main scenario genera- tion methods -by sampling, simulation and statistical approaches. We also review new scenario generation methods such as “hybrid” methods and a review of basic stochastic programming theory can be found in the appendices. The purpose of this white paper is to provide an informed survey of stochastic pro- gramming scenario generation methods. This informational analysis will be of value not only to academics but also modelling practitioners. This paper will be of interest to – quantitative analysts – operational research analysts – other professional involved in the area of stochastic modelling and optimization.
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