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arXiv · 2609.36963

Fused ultrametric Gromov-Wasserstein for Scenario Tree generation in Multistage Stochastic Programming

Antonio Candelieri·Iman Seyedi·Francesco Archetti
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Abstract

Multistage Stochastic Programming requires scenario trees that accurately approximate the unknown underlying uncertainty process without violating the non-anticipativity constraint. Most of the existing method for scenario tree generation usually target just one of the two goals at the expense of the other, and just some recent methods try to simultaneously address both. In this paper, we propose to combine two recent distances from Optimal Transport Theory, specifically the ultrametric Gromov-Wasserstein and the Fused Gromov-Wasserstein, into a unique measure to simultaneously deal with the two goals. Our main result is a stability theorem showing that the optimal value of a Multistage Stochastic Programming problem changes by an amount controlled by a Holder-type power of the proposed distance between the true process and its scenario tree approximation, extending Wasserstein-based stability results to control marginal fidelity and non-anticipativity, simultaneously. We propose a block coordinate descent algorithm for the our scenario tree generation based on the proposed distance, and evaluate it on different inventory management test cases.

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Antonio Candelieri, Iman Seyedi, Francesco Archetti. 2026-09-29. Fused ultrametric Gromov-Wasserstein for Scenario Tree generation in Multistage Stochastic Programming. https://arxiv.org/abs/2609.36963

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