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# SPEPS Preprint

 Author(s): Holger Heitsch, Humboldt-UniversityHernan Leövey, Humboldt-UniversityWerner Römisch, Humboldt-University Title: Are Quasi-Monte Carlo algorithms efficient for two-stage stochastic programs? Date of Acceptance: 24.09.2012 Submission Date: 01.06.2012 Series Title: Stochastic Programming E-Print Series (SPEPS) Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen Complete Preprint: pdf (urn:nbn:de:kobv:11-100204148) Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link. Endnote   Bibtex print on demand: If you click on this icon you can order a print copy of this publication.

Abstract (eng):
Quasi-Monte Carlo algorithms are studied for designing discrete approximations of two-stage linear stochastic programs. Their integrands are piecewise linear, but neither smooth nor lie in the function spaces considered for QMC error analysis. We show that under some weak geometric condition on the two-stage model all terms of their ANOVA decomposition, except the one of highest order, are smooth. Hence, Quasi-Monte Carlo algorithms may achieve the optimal rate of convergence $O(n^{-1+\delta}$ with $\delta \in (0,\frac{1}{2}]$ and a constant not depending on the dimension. The geometric condition is shown to be generically satis fied if the underlying distribution is normal. We discuss sensitivity indices, e ffective dimensions and dimension reduction techniques for two-stage integrands. Numerical experiments show that indeed convergence rates close to the optimal rate are achieved when using randomly scrambled Sobol' point sets and randomly shifted lattice rules accompanied with suitable dimension reduction techniques.
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