A note on scenario reduction for two-stage stochastic programs

Authors:
Holger Heitsch;Werner RöMisch
Affiliations:
Institute of Mathematics, Humboldt-University Berlin, 10099 Berlin, Germany;Institute of Mathematics, Humboldt-University Berlin, 10099 Berlin, Germany
Venue:
Operations Research Letters
Year:
2007

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Abstract

We extend earlier work on scenario reduction by relying directly on Fortet-Mourier metrics instead of using upper bounds given in terms of mass transportation problems. The importance of Fortet-Mourier metrics for quantitative stability of two-stage models is reviewed and some numerical results are also provided.