Using a generative model for out-of-sample testing of two-stage stochastic programs
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
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2026
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| _version_ | 1866915954413273088 |
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| author | Shukla, Ashutosh Hasenbein, John J. Kutanoglu, Erhan |
| author_facet | Shukla, Ashutosh Hasenbein, John J. Kutanoglu, Erhan |
| contents | Stochastic programming models for decision-making under uncertainty often suffer from scenario scarcity, where obtaining representative samples of uncertain parameters requires expensive simulations or measurements. This work presents a framework that leverages the Normal-to-Anything (NORTA) generative model to enhance the reliability of two-stage stochastic programming solutions through comprehensive out-of-sample testing when scenario data is limited. The NORTA model efficiently generates synthetic scenarios that preserve both marginal distributions and correlation structures from limited available data, offering a computationally tractable alternative to expensive physics-based simulations. We demonstrate the approach through a case study on power grid resilience planning against flood events in Texas, where we use 16 high-fidelity flood scenarios to generate 800 additional synthetic scenarios for validation. The results show that NORTA-generated scenarios accurately capture essential statistical properties, with the out-of-sample performance of first-stage decisions closely matching expectations from the original stochastic programming model. This framework enables decision-makers to assess the robustness of their solutions when obtaining additional real-world data is prohibitively expensive. The approach bridges machine learning and operations research by providing a practical solution to scenario generation challenges in stochastic programming. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2604_22221 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Using a generative model for out-of-sample testing of two-stage stochastic programs Shukla, Ashutosh Hasenbein, John J. Kutanoglu, Erhan Optimization and Control Stochastic programming models for decision-making under uncertainty often suffer from scenario scarcity, where obtaining representative samples of uncertain parameters requires expensive simulations or measurements. This work presents a framework that leverages the Normal-to-Anything (NORTA) generative model to enhance the reliability of two-stage stochastic programming solutions through comprehensive out-of-sample testing when scenario data is limited. The NORTA model efficiently generates synthetic scenarios that preserve both marginal distributions and correlation structures from limited available data, offering a computationally tractable alternative to expensive physics-based simulations. We demonstrate the approach through a case study on power grid resilience planning against flood events in Texas, where we use 16 high-fidelity flood scenarios to generate 800 additional synthetic scenarios for validation. The results show that NORTA-generated scenarios accurately capture essential statistical properties, with the out-of-sample performance of first-stage decisions closely matching expectations from the original stochastic programming model. This framework enables decision-makers to assess the robustness of their solutions when obtaining additional real-world data is prohibitively expensive. The approach bridges machine learning and operations research by providing a practical solution to scenario generation challenges in stochastic programming. |
| title | Using a generative model for out-of-sample testing of two-stage stochastic programs |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2604.22221 |