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

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    SYSNO ASEP0314410
    Document TypeJ - Journal Article
    R&D Document TypeJournal Article
    Subsidiary JČlánek ve WOS
    TitleThe Expected Loss in the Discretization of Multistage Stochastic Programming Problems - Estimation and Convergence Rate
    TitleOčekávaná ztráta v diskretizaci vícestupňového problému stochastického programování - odhady a konvergence cen
    Author(s) Šmíd, Martin (UTIA-B) RID, ORCID
    Source TitleAnnals of Operations Research. - : Springer - ISSN 0254-5330
    Roč. 165, č. 1 (2009), s. 29-45
    Number of pages19 s.
    Publication formwww - www
    Languageeng - English
    CountryUS - United States
    Keywordsmultistage stochastic programming problems ; approximation ; discretization ; Monte Carlo
    Subject RIVBB - Applied Statistics, Operational Research
    R&D ProjectsGA402/04/1294 GA ČR - Czech Science Foundation (CSF)
    CEZAV0Z10750506 - UTIA-B (2005-2011)
    UT WOS000262310200003
    DOI10.1007/s10479-008-0355-9
    AnnotationIn 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.
    WorkplaceInstitute of Information Theory and Automation
    ContactMarkéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
    Year of Publishing2009
Number of the records: 1  

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