scenario generation and reduction using SCENRED

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Norshela
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scenario generation and reduction using SCENRED

Post by Norshela » 1 month ago

Hi,

Can anyone share with me a code for scenario tree generation and scenario tree reduction using SCENRED? I am really new with GAMS and have no idea about SCENRED.

Thank you in advance

Regards,

Shela

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Fred
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Re: scenario generation and reduction using SCENRED

Post by Fred » 1 month ago

Hi Shela,

If you search the GAMS Model libraries (https://www.gams.com/latest/docs/searchmodlibs.html) for keywords like 'Scenred', 'tree construction, etc., you will find several examples, such as
https://www.gams.com/latest/testlib_ml/ ... red01.html
https://www.gams.com/latest/gamslib_ml/ ... rtree.html
and many more.

You might also be interested in the docuemntation of SCENRED2 (https://www.gams.com/latest/docs/T_SCENRED2.html).

I hope this helps!

Fred

Norshela
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Re: scenario generation and reduction using SCENRED

Post by Norshela » 1 month ago

Hi Fred,

Thank you so much for your reply. Let me study first and I will ask again. :D

Norshela
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Re: scenario generation and reduction using SCENRED

Post by Norshela » 2 weeks ago

In my study, I already construct a binomial scenario tree for 7 item prices uncertainty where my initial scenario is 128 scenarios (2^7) with 254 nodes (see the attachment). I want to reduce this scenario from 128 scenarios to 32 scenarios using GAMS SCENRED with fast forward selection method. I have the data in excel (see the attachment) but I don't know how to attach the excel to the GAMS SCENRED, construct scenario tree and scenario reduction. Then the reduced scenario I will use it as input to the two-stage stochastic programming
Can someone who is familiar with GAMS SCENRED teach me how to run the program?

Thank you so much for your help

Regards,
Shela
Attachments
2018_08_05 14_07 Office Lens.jpg
128 scenarios.xlsx
(15.14 KiB) Downloaded 2 times

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