Article Contents
Article Contents

# Discrepancy distances and scenario reduction in two-stage stochastic mixed-integer programming

• Polyhedral discrepancies are relevant for the quantitative stability of mixed-integer two-stage and chance constrained stochastic programs. We study the problem of optimal scenario reduction for a discrete probability distribution with respect to certain polyhedral discrepancies and develop algorithms for determining the optimally reduced distribution approximately. Encouraging numerical experience for optimal scenario reduction is provided.
Mathematics Subject Classification: Primary: 90C15.

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