TY - JOUR
T1 - Regression based scenario generation
T2 - Applications for performance management
AU - Mitra, Sovan
AU - Lim, Sungmook
AU - Karathanasopoulos, Andreas
N1 - Publisher Copyright:
© 2018
PY - 2019
Y1 - 2019
N2 - Regression analysis is a common tool in performance management and measurement in industry. Many firms wish to optimise their performance using Stochastic Programming but to the best of our knowledge there exists no scenario generation method for regression models. In this paper we propose a new scenario generation method for linear regression used in performance management. Our scenario generation method is able to produce more representative scenarios by utilising the data driven properties of linear regression models and cluster based resampling. Secondly, our scenario generation method is more robust to model ‘overfitting’ by utilising a multiple of linear regression functions, hence our scenarios are more reliable. Finally, our scenario generation method enables parsimonious incorporation of decision analysis, such as worst case scenarios, hence our scenario generation facilitates decision making. This paper will also be of interest to industry professionals.
AB - Regression analysis is a common tool in performance management and measurement in industry. Many firms wish to optimise their performance using Stochastic Programming but to the best of our knowledge there exists no scenario generation method for regression models. In this paper we propose a new scenario generation method for linear regression used in performance management. Our scenario generation method is able to produce more representative scenarios by utilising the data driven properties of linear regression models and cluster based resampling. Secondly, our scenario generation method is more robust to model ‘overfitting’ by utilising a multiple of linear regression functions, hence our scenarios are more reliable. Finally, our scenario generation method enables parsimonious incorporation of decision analysis, such as worst case scenarios, hence our scenario generation facilitates decision making. This paper will also be of interest to industry professionals.
KW - Forecasting
KW - Performance management
KW - Scenario generation
KW - Simple linear regression
KW - Stochastic programming
UR - http://www.scopus.com/inward/record.url?scp=85059940827&partnerID=8YFLogxK
U2 - 10.1016/j.orp.2018.100095
DO - 10.1016/j.orp.2018.100095
M3 - Article
AN - SCOPUS:85059940827
SN - 2214-7160
VL - 6
JO - Operations Research Perspectives
JF - Operations Research Perspectives
M1 - 100095
ER -