Optimization-based Scenario Reduction for Data-Driven Two-stage Stochastic Optimization

We propose a novel, optimization-based method that takes into account the objective and problem structure for reducing the number of scenarios, m, needed for solving two-stage stochastic optimization problems. We develop a corresponding convex optimization-based algorithm, and show that as the number of scenarios increase, the proposed method recovers the SAA solution. We report computational … Read more