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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