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https://github.com/sintef/scengen-hkw

Scenario-generation algorithm using moment matching
https://github.com/sintef/scengen-hkw

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Scenario-generation algorithm using moment matching

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README 

        
Moment-based scenario generation

================================



This repository includes the original C version of the moment-matching scenario-generation code,

as described in paper _A Heuristic for Moment-Matching Scenario Generation_ by Kjetil Høyland, Michal Kaut and Stein W. Wallace , published in [Computational Optimization and Applications, 24 (2-3), pp. 169–185, 2003](http://dx.doi.org/doi:10.1023/A:1021853807313).



The code generates scenarios for multivariate random variables with distribution specified by the first four moments and a correlation matrix.



I works by alternating between improving the moments and the correlation of the generated distribugion.

While it normally converges in a couple of iterations, there is no convergence guarantee; the code will do several trials with different start points, if needed.



Building

--------



### Code::Blocks project



The code comes with a project file for the [Code::Blocks IDE](https://www.codeblocks.org/), `scen-gen_HKW.cbp`.

The project includes the following _targets_:



- `Debug` and `Release`

	- debug and release versions of the main executable, `scen-gen_HKW[.exe]`

- `Debug_dll` and `Release_dll`

	- debug and release versions for building a dynamic library, `libscen-gen_HKW.[dll|so]`

- `Release_w_dll`

	- alternative executable, using (and therefore requiring) the dynamic library

- `cubic_trsf_dll`

	- generates `libHKW_cubic.[dll|so]` containing only the cubic transformation for moment correction



### Auto-generated makefiles



The package includes three platform-specific makefiles `Makefile.[win|unix|mac]`, auto-generated from the project file using Code::Blocks' `cbp2make` tool.



The syntax for creating the makefile is:



```console

/cbp2make -in scen-gen_HKW.cbp -out Makefile. -

```

with `` being one of `win`, `unix`, or `mac`. On Windows, the `/` would need to be replaced by `\`.



The makefiles includes the same targets as the project files, plus the usual `all` meta-target.

They have been tested on Windows (using MSYS with GCC) and Linux (Ubuntu on WSL2).



### Minimal makefile



In addition, there is also a manually-created `Makefile`, illustrating the minimal requirements for building of the main executable file.



Usage of `scen-gen_HKW[.exe]`

----------------------------



The main executable uses a rather rigid input, requiring the following input files:



- `tg_moms.txt` with target moments

- `tg_corrs.txt` with the target correlation matrix



These files must include a matrix of numbers in the following format:



- number of rows

- number of columns

- data (by rows)

- rest of the file is ignored



The target-moment matrix is given with moments in rows and variables in columns, so the first number is always 4 and the second number is the number of variables.



### Specified probabilities



In addition, it is possible to specify probabilities of the generated scenarios (using command-line argument `-p`), given as a vector in the following format:



- number of elements

- data

- rest of the file is ignored



The number of elements must be equal to the number of generated scenarios, and the values must be positive and sum up to 1.0.



### Output



Output is written to file `out_scen.txt`, but this can be overwritten using `-o` argument.



For a full list of options, run `scen-gen_HKW[.exe]` without any arguments.



### Example input files



Example input files are provided in `doc/sample_inputs.7z`.

With these unpacked in the same directory as `scen-gen_HKW[.exe]`, one can do:



- `scen-gen_HKW 50 -f 1 -o 50_scens.txt` to generate 50 scenarios and save them to `50_scens.txt`

- `scen-gen_HKW 100 -f 1 -p prob.txt` to generate 100 scenarios with probabilities from `prob.txt` and save them to (the default) `out_scen.txt`.



The `-f 1` argument is needed since the provided `tg_moms.txt` uses spreadsheet-like definitions of moments (as written in the file itself). To get all possible values of `-f`, run `scen-gen_HKW` without any arguments.