# Scenarios and Policy Aggregation in Optimization Under Uncertainty

@article{Rockafellar1991ScenariosAP, title={Scenarios and Policy Aggregation in Optimization Under Uncertainty}, author={R. Tyrrell Rockafellar and Roger J.-B. Wets}, journal={Math. Oper. Res.}, year={1991}, volume={16}, pages={119-147} }

A common approach in coping with multiperiod optimization problems under uncertainty where statistical information is not really enough to support a stochastic programming model, has been to set up and analyze a number of scenarios. The aim then is to identify trends and essential features on which a robust decision policy can be based. This paper develops for the first time a rigorous algorithmic procedure for determining such a policy in response to any weighting of the scenarios. The…

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