In this paper, we present a method for generating scenarios by selection from historical data. We start with two models for a univariate single-period case and then extend the better-performing one to the case of selecting sequences of multivariate data. We then test the method on data series for wind- and solar-power generation in Scandinavia.
Citation
Published as "Scenario generation by selection from historical data" in Comput Manag Sci 18, 411–429 (2021). https://doi.org/10.1007/s10287-021-00399-4