Scenario tree generation by clustering the simulated data paths

21st European Conference on Modelling and Simulation: Simulations in United Europe, ECMS 2007

Volumn , Issue , 2007, Pages 203-208

  Pranevicius, Henrikas ^a   Sutiene, Kristina ^a  

^a KAUNAS UNIVERSITY OF TECHNOLOGY   (Lithuania)

Author keywords

K means clustering; Scenario generation; Scenario tree construction; Stochastic programming

Indexed keywords

CLUSTER ANALYSIS; DECISION TREES; RANDOM PROCESSES; STOCHASTIC PROGRAMMING; STOCHASTIC SYSTEMS; TREES (MATHEMATICS);

INTEREST RATES; LONG TERM PLANNING; SAMPLED DATA; SCENARIO GENERATION; SCENARIO MODELING; SCENARIO TREE; SCENARIO TREE CONSTRUCTIONS; SEQUENTIAL DECISIONS;

K-MEANS CLUSTERING;

EID: 77949866847     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.7148/2007-0203     Document Type: Conference Paper

References (14)

1. Domenica, N.D.; Birbilis, G.; Mitra, G. and Valente, P. 2003. Stochastic Programming and Scenario Generation within a Simulation Framework: an Information Systems Perspective." Technical Report. CARISMA, Brunel University, UK.
2. Dupačová, J.; Gröwe-Kuska, N. and Römisch, W. 2003. "Scenario Reduction in Stochastic Programming." Mathematical Programming 95(3), 493-511.
3. Dupačová, J.; Hurt, J. and ?ěpán, J. 2002. Applied Optimization 75: Stochastic Modeling in Economics and Finance. Kluwer Academic Publishers.
4. Dupačová, J.; Consigli, G. and Wallace, S.W. 2000. "Scenarios for Multistage Stochastic Programs." Annals of Operations Research 100, 25-53.
5. Embrechts, P.; McNeil, A. and Straumann, D. 2002. "Correlation and Dependency in Risk Management: Properties and Pitfalls". In Risk management: value at risk and beyond, M.A.H. Dempster (Eds.), 176-224.
6. Heitsch, H. and Römisch, W. (2005). "Generation of Multivariate Scenario Trees to Model Stochasticity in Power Management". IEEE St. Petersburg Power Tech.
7. Hibbert, J.; Mowbray, P. and Turnbull, C. 2001. "A stochastic Asset Model & Calibration for Long-Term Financial Planning Purposes". Technical Report. Barrie&Hibbert Limited.
8. Hibiki, N. 2003. "A Hybrid Simulation / Tree Stochastic Optimization Model for Dynamic Asset Allocation". In Asset and Liability Management Tools, B. Scherer, (Eds.), 279-304.
9. Høyland, K.; Kaut, M. and Wallace, S.W. 2003. "A Heuristic for Moment-matching Scenario Generation." Computational optimization and Applications 24, 169-185.
10. Høyland, K. and Wallace, S.W. 2001. "Generating Scenario Trees for Multistage Decision Problems." Management Science 47(2), 295-307. (Pubitemid 34192765)
11. Kaufmann, L. and Rousseeuw, P.J. 1990. Finding Groups in Data: An Introduction to Cluster Analysis. John Wiley & Sons.
12. Pflug, G. 2001. "Scenario Tree Generation for Multiperiod Financial Optimization by Optimal Discretization." Mathematical Programming B89, 251-271. (Pubitemid 33758942)
13. Pranevicius, H. and Sutiene, K. 2006. "Simulation of Dependence between Asset Returns in Insurance". In Proceedings of the 5th International Conference on Operational Research: Simulation and Optimization in Business and Industry. Tallinn, Estonia, 23-28.
14. Yu, L.Y.; Ji, X.D. and Wang, S.Y. 2003. "Stochastic Programming Models in Financial Optimization: Survey." AMO - Advanced Modeling and Optimization 5(1), 1-26.