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The Expected Loss in the Discretization of Multistage Stochastic Programming Problems - Estimation and Convergence Rate
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SYSNO ASEP 0314410 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title The Expected Loss in the Discretization of Multistage Stochastic Programming Problems - Estimation and Convergence Rate Title Očekávaná ztráta v diskretizaci vícestupňového problému stochastického programování - odhady a konvergence cen Author(s) Šmíd, Martin (UTIA-B) RID, ORCID Source Title Annals of Operations Research. - : Springer - ISSN 0254-5330
Roč. 165, č. 1 (2009), s. 29-45Number of pages 19 s. Publication form www - www Language eng - English Country US - United States Keywords multistage stochastic programming problems ; approximation ; discretization ; Monte Carlo Subject RIV BB - Applied Statistics, Operational Research R&D Projects GA402/04/1294 GA ČR - Czech Science Foundation (CSF) CEZ AV0Z10750506 - UTIA-B (2005-2011) UT WOS 000262310200003 DOI 10.1007/s10479-008-0355-9 Annotation 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. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2009
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