Auflistung Stochastic Programming E-print Series (SPEPS) nach Schlagwort "Monte Carlo simulation"
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2000-06-26BuchConditioning of stochastic programs In this paper we consider stochastic programming problems where the objective function is given as an expected value function. With an optimal solution of such a (convex) problem we associate a condition number which ...
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1999-10-18BuchOn Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs In this paper we discuss Monte Carlo simulation based approximations of a stochastic programming problem. We show that if the corresponding random functions are convex piecewise smooth and the distribution is discrete, ...