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

By Volker Stix


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)Series: Working Papers on Information Systems, Information Business and Operation

Topics: scenario trees / global optimization / stochastic branch and bound
Publisher: Institut für Informationsverarbeitung und Informationswirtschaft, WU Vienna University of Economics and Business
Year: 2002
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