🤖 AI Summary
该研究通过结合机器学习和多变量时间序列模型，开发了一个名为Scentree的开源Python工具包，用于从历史数据中生成适用于多阶段随机规划的场景树。
📝 Abstract
We present scentree, an open-source Python package for constructing a scenario fan and a scenario tree for multistage stochastic programming from historical data. It combines machine learning and multivariate time series models to obtain a scenario fan that captures inter-stage dependencies in the stochastic processes. This scenario fan is subsequently transformed into a scenario tree suitable for multistage stochastic optimization, providing a flexible and extensible framework for uncertainty modeling. A key contribution is the automation of the complete workflow, including model selection, parameter estimation, scenario fan generation, and scenario tree construction. Scentree does not rely on assumptions about the underlying data distribution, reducing the statistical expertise required to produce a scenario tree. Furthermore, it is agnostic to the specific multistage stochastic problem to be solved.