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Stochastic branch & bound applying target oriented branch & bound method to optimal scenario tree reduction

Stix, Volker (2002) Stochastic branch & bound applying target oriented branch & bound method to optimal scenario tree reduction. Working Papers on Information Systems, Information Business and Operations, 03/2002. Institut für Informationsverarbeitung und Informationswirtschaft, WU Vienna University of Economics and Business, Vienna.

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Abstract

In this article a new branch & bound method is described. It uses an artificial target to improve its bounding capabilities. Therefore the new approach is faster compared to the classical one. It is applied to the stochastic problem of optimal scenario tree reduction. The aspects of global optimization are emphasized here. All necessary components for that problem are developed and some experimental results underline the benefits of the new approach. (author's abstract)

Item Type: Paper
Keywords: scenario trees / global optimization / stochastic branch and bound
Divisions: Departments > Informationsverarbeitung u Prozessmanag. > Informationswirtschaft
Depositing User: Repository Administrator
Date Deposited: 27 Mar 2002 14:33
Last Modified: 25 Oct 2016 05:42
URI: http://epub.wu.ac.at/id/eprint/1212

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