I have to generate scenarios for a stochastic optimization program. I want to reduce this number of scenarios but the assignment of a probability to each scenario is my problem. How can I assign a probability to each scenario?
I have historical data for a renewable energy profile such as wind and solar, and I want to formulate a market clearing operation problem using a two-stage stochastic program to minimize the operation cost in the day ahead. I want to have scenarios for each uncertain variable (wind, solar) using a neural network so I don't make fitting to a probability distribution. I then want to assign a probability for each scenario to sum over all scenarios and multiply by its probability to calculate the expected cost. Also I have some confusions about scenarios when I have a lot of uncertain variables like wind, solar and electric load.