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Document type:
Masterarbeit 
Author(s):
Gorski, V. 
Title:
Scenario trees models vs. lattice models in stochastic optimization 
Abstract:
We compare the performance of tree-based models for solving stochastic programs to the performance of lattice-based approaches. We create a framework for such comparisons, argue why this framework allows us to make a definite statement about the relative per- formance and conduct various case studies. For the case studies, typical stochastic op- timization problems from the contemporary literature are chosen. Our results show that especially for high-dimensional problems with increasing dependen...    »
 
Keywords:
Stochstic Optimization, Decomposition Methods, Dual Dynamic Programming 
DDC:
510 Mathematik 
Supervisor:
Claudia Klüppelberg 
Advisor:
David Wozabal, Claudia Klüppelberg 
Year:
2017 
Year / month:
2017-03 
Month:
Mar 
Pages:
73 
Language:
en 
University:
Technische Universität München 
Faculty:
Fakultät für Mathematik 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text