I have a model free based method for scenario generation to be used in stochastic optimization problem. But the problem is after scenario generation I want to assign a probability fro each scenario How can I do this?
You can assign a uniform probability to each scenario and the summation of all the probability is equal to one.
@Talal Alharbi
How can I give a scenario a probability higher than others?
Please see the following papers for approaches to allocate differing probabilities to different scenarios:
@ Paresh Date thanks for yr reply but i have generated scenarios from historical data using neural network then i dont have the probability distribution of them.
but I only have some scenarios with equal probability of occurrence how can I assign probability to each scenario or can I make scenario reduction then assign a probability to each new scenario?
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