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Scenario reduction in stochastic programming with respect to discrepancy distances

Research paper by René Henrion, Christian Küchler, Werner Römisch

Indexed on: 09 Nov '07Published on: 09 Nov '07Published in: Computational Optimization and Applications



Abstract

Discrete approximations to chance constrained and mixed-integer two-stage stochastic programs require moderately sized scenario sets. The relevant distances of (multivariate) probability distributions for deriving quantitative stability results for such stochastic programs are ℬ-discrepancies, where the class ℬ of Borel sets depends on their structural properties. Hence, the optimal scenario reduction problem for such models is stated with respect to ℬ-discrepancies. In this paper, upper and lower bounds, and some explicit solutions for optimal scenario reduction problems are derived. In addition, we develop heuristic algorithms for determining nearly optimally reduced probability measures, discuss the case of the cell discrepancy (or Kolmogorov metric) in some detail and provide some numerical experience.