A note on scenario reduction for two-stage stochastic programs

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 twostage models is reviewed and some numerical results are also provided. © 2007 Published by Elsevier B.V.

• Type: Journal
• Year: 2007
• Where: ORL
• Authors: Holger Heitsch, Werner Römisch
• Keywords: Earlier Work, Fortet–Mourier Metrics, Mass Transportation Problems, ORL 2007