scenario | R Documentation |
The buildtree
function uses the neural gas method to generate a scenario tree of predefined nodal structure. The checktree
function plots a scenario tree structure as defined by a nodal parition matrix.
Latorre, J.M., Cerisola, S. and Ramos, A. (2007) Clustering algorithms for scenario tree generation: Application to natural hydro flows, European Journal of Operational Research, 181, 1339-1353.
Xu, B., Zhong, P.A., Zambon, R.C., Zhao, Y., Yeh, W. (2015) Scenario tree reduction in stochastic programming with recourse for hydropower operations, Water Resources Research, 51, 6359-6380.
Dupacova, Jitka, Giorgio Consigli, and Stein W. Wallace. "Scenarios for multistage stochastic programs." Annals of operations research 100.1-4 (2000): 25-53.
# TEST BY GENERATING SCENARIOS FROM KNOWN CENTROIDS AND THEN # COMPARING FIT BETWEEN THE GENERATED TREE AND INTIAL CENTROIDS. # 1. Generate scenarios with known centroids: centroids <- cbind(c(0,2,3), c(0,2,1), c(0,-2,-3),c(0,-2,-1)) matplot(centroids, type="l", lwd = 3, col = "black", lty = 3) scenarios <- matrix(rep(centroids,5), ncol=20) + matrix(rnorm(60,0,0.25),ncol=20) matlines(scenarios, col = "grey") # 2. Assign and check nodal structure for tree: treeStruct <- rbind(c(1,1,1,1), c(2,2,5,5), c(3,4,6,7)) checktree(treeStruct) # 3. Build scenario tree: tree <- buildtree(scenarios, treeStruct, jMax = 1000) #4. Compare original centroids matlines(centroids,lwd = 3, col = "black", lty = 3) # Improved convergence is achieved by increasing the number of iterations, jMax.
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