W
Werner Römisch
Researcher at Humboldt University of Berlin
Publications - 126
Citations - 7509
Werner Römisch is an academic researcher from Humboldt University of Berlin. The author has contributed to research in topics: Stochastic programming & Probability distribution. The author has an hindex of 37, co-authored 126 publications receiving 6923 citations. Previous affiliations of Werner Römisch include City University London & Humboldt State University.
Papers
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Journal ArticleDOI
Scenario Reduction Algorithms in Stochastic Programming
Holger Heitsch,Werner Römisch +1 more
TL;DR: Two new versions of forward and backward type algorithms are presented for computing such optimally reduced probability measures approximately for convex stochastic programs with an (approximate) initial probability distribution P having finite support supp P.
Journal ArticleDOI
Scenario Reduction in Stochastic Programming
TL;DR: Arguments from stability analysis indicate that Fortet-Mourier type probability metrics may serve as such canonical metrics in a convex stochastic programming problem with a discrete initial probability distribution.
Proceedings ArticleDOI
Scenario reduction and scenario tree construction for power management problems
TL;DR: Numerical experience is reported for constructing scenario trees for the load and spot market prices entering a stochastic portfolio management model of a German utility.
Journal ArticleDOI
Scenario reduction in stochastic programming: An approach using probability metrics
TL;DR: Arguments from stability analysis indicate that Fortet-Mourier type probability metrics may serve as such canonical metrics and efficient algorithms are developed that determine optimal reduced measures approximately.
Book
Modeling, Measuring and Managing Risk
Georg Ch. Pflug,Werner Römisch +1 more
TL;DR: In this article, the authors introduce the theory of risk measures in a mathematically sound way, and present properties, characterizations and representations of risk functionals for single-period and multi-period activities.