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I would like to compare the performance of various scenario generation algorithms.

What are the metrics for comparing the performance of these algorithms?

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I did a little research and found the paper that I have cited below. I think with 517 citations this paper and the reference therein can be a good source for you.

Paper: Kaut, Michal, and Stein W. Wallace. "Evaluation of scenario-generation methods for stochastic programming." (2003).

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