The Expected Loss in the Discretization of Multistage Stochastic Programming Problems - Estimation and Convergence Rate

0314410 - ÚTIA 2009 RIV US eng J - Článek v odborném periodiku
Šmíd, Martin
The Expected Loss in the Discretization of Multistage Stochastic Programming Problems - Estimation and Convergence Rate.
[Očekávaná ztráta v diskretizaci vícestupňového problému stochastického programování - odhady a konvergence cen.]
Annals of Operations Research. Roč. 165, č. 1 (2009), s. 29-45. ISSN 0254-5330. E-ISSN 1572-9338
Grant CEP: GA ČR GA402/04/1294
Výzkumný záměr: CEZ:AV0Z10750506
Klíčová slova: multistage stochastic programming problems * approximation * discretization * Monte Carlo
Kód oboru RIV: BB - Aplikovaná statistika, operační výzkum
Impakt faktor: 0.961, rok: 2009
http://library.utia.cas.cz/separaty/2008/E/smid-the expected loss in the discretization of multistage stochastic programming problems - estimation and convergence rate.pdf

In the present paper, the approximate computation of a multistage stochastic programming problem (MSSPP) is studied. First, the MSSPP and its discretization are defined. Second, the expected loss caused by the usage of the `approximate'' solution instead of the ``exact'' one is studied. Third, new results concerning approximate computation of expectations are presented. Finally, the main results of the paper - an upper bound of the expected loss and an estimate of the convergence rate of the expected loss - are stated.

V článku presentujeme přibližný výpočet vícestupňového problému stochastického programování.
Trvalý link: http://hdl.handle.net/11104/0164931