Beltrán-Royo, César2024-09-162024-09-162021-07-29Beltran-Royo, C. (2021), From scenarios to conditional scenarios in two-stage stochastic MILP problems. Intl. Trans. in Op. Res., 28: 660-686. https://doi.org/10.1111/itor.128510969-6016 (print)1475-3995 (online)https://hdl.handle.net/10115/39549The conditional scenario (CS) approach was introduced as an effective approximation to the two-stage stochastic mixed-integer linear programming problem. Although the original definition of CS is general, in practice it is basically suitable for the multivariate normal distribution. In this paper, we propose a new definition of CS that is suitable for approximating any multivariate distribution (continuous or discrete). This definition allows the approximation of a potentially large set of scenarios using a small set of CSs, unlike the previous definition. In the computational study, dedicated to solving the portfolio optimization problem with hard real-world constraints, the CS approach has clearly outperformed the sample average approximation approach in terms of solution timeenginfo:eu-repo/semantics/article10.1111/itor.12851info:eu-repo/semantics/embargoedAccess