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A copula-based heuristic for scenario generation

Abstract

This paper presents a new heuristic for generating scenarios for two-stage stochastic programs. The method uses copulas to describe the dependence between the marginal distributions, instead of the more common correlations. The heuristic is then tested on a simple portfolio-selection model, and compared to two other scenario-generation methods.
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Category

Academic article

Language

English

Author(s)

Affiliation

  • Norwegian University of Science and Technology
  • SINTEF Industry / Sustainable Energy Technology

Date

24.08.2013

Year

2013

Published in

Computational Management Science

ISSN

1619-697X

Publisher

Springer

Volume

11

Issue

4

Page(s)

503 - 516

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