Browsing Stochastic Programming E-print Series (SPEPS) by Subject "discretization"
Now showing items 1-3 of 3
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2005-12-28BuchAggregation and Discretization in Multistage Stochastic Programming Multistage stochastic programs have applications in many areas and support policy makers in finding rational decisions that hedge against unforeseen neg- ative events. In order to ensure computational tractability, ...
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2004-02-10BuchEpi-convergent discretizations of multistage stochastic programs In many dynamic stochastic optimization problems in practice, the uncertain factors are best modeled as random variables with an infinite support. This results in infinite-dimensional optimization problems that can rarely ...
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2004-10-02BuchVariance reduction in sample approximations of stochastic programs This paper studies the use of randomized Quasi-Monte Carlo methods (RQMC) in sample approximations of stochastic programs. In high dimensional numerical integration, RQMC methods often substantially reduce the variance of ...