Georg Pflug - Stochastic processes and trees | Dipartimento di Scienze Economiche

Georg Pflug - Stochastic processes and trees

19 maggio 2021 12:30 - 13:30
evento online
Georg Pflug, Universität Wien
Seminari di dipartimento
Persona di riferimento: 
Francesca Maggioni,
Strutture interne organizzatrici: 
Dipartimento di Scienze Economiche

Lunch Seminar Economics (LSE) - 2020/2021

Interviene: Georg Pflug, Universität Wien 

Link: aula virtuale Teams



We review some facts about approximation of general stochastic processes by simpler ones, especially valuated trees. This problem is relevant for dynamic stochastic programming, where trees are the important data structure. Since trees can be defined as a recursive structure, we emphasize the recursive character of some algorithms. Several older results will be put into perspective and some new results about fast calculation of distances between stochastic processes as well as about approximation of a larger tree by a simpler one - known as scenario reduction - will be presented. The presented algorithms (in Julia) are public and are collected in a GitHub library, where also the documentation can be found.