35 citations · 50 across the 3 of their papers we have counts for
3 papers
On scenario construction for stochastic shortest path problems in real road networks
Dongqing Zhang, Stein W. Wallace, Zhaoxia Guo +2
Stochastic shortest path computations are often performed under very strict time constraints, so computational efficiency is critical. A major determinant for the CPU time is the n…
Scenario generation for single-period portfolio selection problems with tail risk measures: coping with high dimensions and integer variables
Jamie Fairbrother, Amanda Turner, Stein Wallace
In this paper we propose a problem-driven scenario generation approach to the single-period portfolio selection problem which use tail risk measures such as conditional value-at-ri…
Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure
Jamie Fairbrother, Amanda Turner, Stein Wallace
Scenario generation is the construction of a discrete random vector to represent parameters of uncertain values in a stochastic program. Most approaches to scenario generation are…