Data-driven multi-stage scenario tree generation via statistical property and distribution matching

Bruno A. Calfa, Anshul Agarwal, Ignacio E. Grossmann, John M. Wassick

Abstract: Highlights•Optimization matching for generating scenario trees that reduces under-specification•Data-driven method that does not require strict assumptions on probability distribution.•Two approaches for multi-stage scenario trees based on time series and forecasting.•Application in production planning with uncertain yield and correlated product demands.