Learning Objectives

The learning goals for this module are:

  • Understand the concept of scenario generation;
  • Connect optimization and decision making under uncertainty (stochastic optimization);
  • Learn how to represent uncertainty with a scenario tree;
  • Learn how to generate correlated scenarios when trying to forecast more than one variable;
  • Learn how to generate scenarios based on the time series models we learned in R.


Here is a link to the slide deck used in class.


  • Example of application of state space linear models and scneario generation to inflow forecasting .


This module is explained in three videos that go over the slides shared and how to generate scenarios in R.


There is no assignment associated with this module.