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DanieleGioia / ScenarioReducer

This library implements several approximate scenario reduction algorithms. Given a probability distribution with finite support, they aim to determine a probability measure with support of reduced and fixed cardinality by selecting the closest to the original one in terms of a selected statistical distance.
MIT License
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Error in algorithm? #1

Closed pdb5627 closed 1 year ago

pdb5627 commented 1 year ago

Hi! Thank you for sharing your work! It has been a good starting point for scenario reduction for a project I am working on. I think you may have an error in your algorithm. Referencing the Heitsch and Römisch paper, in each step i, it looks like the distance matrix should be updated according to the following rule:

c^{[i]}_{ku} := \min \left\{ c^{[i-1]}_{ku}, c^{[i-1]}_{ku_{i-1}} \right\}, k, u \in J^{[i-1]}

I don't see that your code does this update. I plan to put together a pull request to address this.

DanieleGioia commented 1 year ago

Thank you for your contribution.