• A copula-based heuristic for scenario generation 

      Kaut, Michal (Journal article; Peer reviewed, 2013)
      This paper presents a new heuristic for generating scenarios for two-stage stochastic programs. The method uses copulas to describe the dependence between the marginal distributions, instead of the more common correlations. ...
    • Decision-dependent probabilities in stochastic programs with recourse 

      Hellemo, Lars; Barton, Paul I.; Tomasgard, Asgeir (Journal article; Peer reviewed, 2018)
      Stochastic programming with recourse usually assumes uncertainty to be exogenous. Our work presents modelling and application of decision-dependent uncertainty in mathematical programming including a taxonomy of stochastic ...
    • Investment in electric energy storage under uncertainty: a real options approach 

      Bakke, Ida; Fleten, Stein-Erik; Hagfors, Lars Ivar; Hagspiel, Verena; Norheim, Beate; Wogrin, Sonja (Journal article; Peer reviewed, 2016)
      In this paper we develop a real options approach to evaluate the profitability of investing in a battery bank. The approach determines the optimal investment timing under conditions of uncertain future revenues and investment ...
    • Multi-horizon stochastic programming 

      Kaut, Michal; Midthun, Kjetil Trovik; Werner, Adrian; Tomasgard, Asgeir; Hellemo, Lars; Fodstad, Marte (Journal article; Peer reviewed, 2014)
      Infrastructure-planning models are challenging because of their combination of different time scales: while planning and building the infrastructure involves strategic decisions with time horizons of many years, one needs ...
    • Progressive hedging for stochastic programs with cross scenario inequality constraints 

      Aasgård, Ellen Krohn; Skjelbred, Hans Ivar (Journal article; Peer reviewed, 2019)
      In this paper, we show how progressive hedging may be used to solve stochastic programming problems that involve cross-scenario inequality constraints. In contrast, standard stochastic programs involve cross-scenario ...