Integration quadratures in discretization of stochastic programs

Teemu Pennanen; Matti Koivu

edoc-Server der Humboldt-Universität zu Berlin

SPEPS Preprint

Author(s):	Teemu Pennanen, Helsinki School of Economics Matti Koivu, Helsinki School of Economics
Title:	Integration quadratures in discretization of stochastic programs
Date of Acceptance:	04.06.2002
Submission Date:	03.05.2002
Series Title:	Stochastic Programming E-Print Series (SPEPS)
Editors:	Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint:	pdf (urn:nbn:de:kobv:11-10058449) ps (urn:nbn:de:kobv:11-10058458)
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.
Diese Seite taggen: These icons lead to social bookmarking systems where you can create and manage personal bookmarks and discover bookmakrs of other users.

Abstract (eng):

Because of its simplicity, conditional sampling is the most popular method for generating scenario trees in stochastic programming. It is based on approximating probability measures by empirical ones generated by random samples. Because of computational restrictions, these samples cannot be very large, so the empirical measures can be poor approximations of the original ones. This paper shows that modern integration quadratures provide a simple and an attractive alternative to random sampling. These quadratures are designed to give good approximations of given (probability) measures by a small number of quadrature points. The performance of the resulting scenario generation methods is demonstrated by numerical examples.

Access Statistics:

These data concerning access statistics for individual documents have been compiled using the webserver log files aggregated by AWSTATS. They refer to a monthly access count to the full text documents as well as to the entry page.

As for format versions of a document which consist of multiple files (such as HTML) the highest monthly access number to one of the files (chapters) is shown respectivly.

To see the detailled access numbers please move the mouse pointer over the single bars of the digaram.

May
11

Jun
11

Jul
11

Aug
11

Sep
11

Oct
11

Dec
11

Jan
12

Feb
12

Apr
12

May
12

Jun
12

Jul
12

Aug
12

Sep
12

Oct
12

Nov
12

Dec
12

Jan
13

Apr
13

Monat	May 11	Jun 11	Jul 11	Aug 11	Sep 11	Oct 11	Dec 11	Jan 12	Feb 12	Apr 12	May 12	Jun 12	Jul 12	Aug 12	Sep 12	Oct 12	Nov 12	Dec 12	Jan 13	Apr 13
Startseite		1		1	1		1	4	1	3	1				1
PDF	11	6	3	6	8	2	4	3	4	5	2	4	9	8	7	5	26	3	18	17

Gesamtzahl der Zugriffe seit May 2011:

Startseite – 14 (0.74 pro Monat)
PDF – 151 (7.55 pro Monat)

Generated at 19.05.2013, 21:29:58

edoc-Server der Humboldt-Universität zu Berlin • Impressum • edoc@cms.hu-berlin.de • Nutzungsbedingungen • Haftungsausschluss • Statistik