H. Jonsson et Ea. Silver, SOME INSIGHTS REGARDING SELECTING SETS OF SCENARIOS IN COMBINATORIAL STOCHASTIC PROBLEMS, International journal of production economics, 45(1-3), 1996, pp. 463-472
Stochastic combinatorial problems are inherently difficult to solve. I
n this paper we explore the use of a relatively small subset of all of
the possible random scenarios, thus drastically reducing the size of
such problems. Two different methods of selecting the sample scenarios
are investigated. Encouraging results are found for two variations of
multi-item newsvendor problems used for testing purposes. In particul
ar, the cost penalties associated with using one of the sampling metho
ds are very small even with a low number of scenarios.