Počet záznamů: 1

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

  1. 1.
    0314410 - UTIA-B 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
    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 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