generating scenario tree from

[haizu...@gmail.com]

Hi everyone, 

I want to know about the process of generating scenario trees. I have generated asset return for 2000 scenarios using Vector autoregressive model. However, I have a problem of generating scenario trees using these data. really hope your help and advise. 

Haizul

[Robert Fourer]

There's a good discussion of formulations for scenarios and stochastic programming in: H.I. Gassmann and A.M. Ireland, Scenario formulation in an algebraic modelling language, Annals of Operations Research 59 (1995) 45-75 (http://dx.doi.org/10.1007/BF02031743). You can find a version of it at

http://docs.informatics.management.dal.ca/gsdl/collect/wpapers/index/assoc/HASH01e5.dir/doc.pdf

Bob Fourer
am...@googlegroups.com

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[putraaz...@gmail.com]

Thanks Robert fo the link. I have tried example appendix B and the answer come out as follows: 

Presolve: constraint balance [1,1] cannot hold:

               body <= -198.03 cannot be >=-322.232 , difference  = -530.262

could you advice me on this issue. 

Haizul. 

[Victor Zverovich]

The message means that AMPL presolve detected that your problem is infeasible. This has been discussed multiple times in the group, see https://groups.google.com/d/msg/ampl/QPk_sCuCez8/iy9TRvcUCQAJ for example.

HTH,

Victor

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