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The Expected Loss in the Discretization of Multistage Stochastic Programming Problems - Estimation and Convergence Rate
- 1.0314410 - ÚTIA 2009 RIV US eng J - Journal Article
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
R&D Projects: GA ČR GA402/04/1294
Institutional research plan: CEZ:AV0Z10750506
Keywords : multistage stochastic programming problems * approximation * discretization * Monte Carlo
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.961, year: 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.
Permanent Link: http://hdl.handle.net/11104/0164931
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