Evaluation of scenario-generation methods for stochastic programming

In this paper, we discuss the evaluation of quality/suitability of scenario-generation methods for a given stochastic programming model. We formulate minimal requirements that should be imposed on a scenario-generation method before it can be used for solving the stochastic pro-gramming model. We also show how the requirements can be tested.The procedure of testing a scenario-generation method is illustrated on a case from portfolio management. In addition, we provide a short overview of the most common scenario-generation methods