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2020-07-14Zeitschriftenartikel DOI: 10.18452/24032
Quasi-Monte Carlo methods for two-stage stochastic mixed-integer programs
dc.contributor.authorLeövey, Hernan
dc.contributor.authorRömisch, Werner
dc.date.accessioned2022-01-31T14:06:08Z
dc.date.available2022-01-31T14:06:08Z
dc.date.issued2020-07-14none
dc.identifier.urihttp://edoc.hu-berlin.de/18452/24657
dc.description.abstractWe consider randomized QMC methods for approximating the expected recourse in two-stage stochastic optimization problems containing mixed-integer decisions in the second stage. It is known that the second-stage optimal value function is piecewise linear-quadratic with possible kinks and discontinuities at the boundaries of certain convex polyhedral sets. This structure is exploited to provide conditions implying that first and higher order terms of the integrand’s ANOVA decomposition (Math. Comp. 79 (2010), 953–966) have mixed weak first order partial derivatives. This leads to a good smooth approximation of the integrand and, hence, to good convergence rates of randomized QMC methods if the effective (superposition) dimension is low.eng
dc.language.isoengnone
dc.publisherHumboldt-Universität zu Berlin
dc.rights(CC BY 4.0) Attribution 4.0 Internationalger
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectStochastic programmingeng
dc.subjectTwo-stageeng
dc.subjectMixed-integereng
dc.subjectSamplingeng
dc.subjectQuasi-Monte Carloeng
dc.subjectHaar measueng
dc.subject.ddc510 Mathematiknone
dc.titleQuasi-Monte Carlo methods for two-stage stochastic mixed-integer programsnone
dc.typearticle
dc.identifier.urnurn:nbn:de:kobv:11-110-18452/24657-6
dc.identifier.doihttp://dx.doi.org/10.18452/24032
dc.type.versionpublishedVersionnone
local.edoc.pages32none
local.edoc.type-nameZeitschriftenartikel
local.edoc.container-typeperiodical
local.edoc.container-type-nameZeitschrift
dc.description.versionPeer Reviewednone
dc.identifier.eissn1436-4646
dcterms.bibliographicCitation.doi10.1007/s10107-020-01538-6
dcterms.bibliographicCitation.journaltitleMathematical programmingnone
dcterms.bibliographicCitation.volume190none
dcterms.bibliographicCitation.originalpublishernameSpringernone
dcterms.bibliographicCitation.originalpublisherplaceBerlin ; Heidelbergnone
dcterms.bibliographicCitation.pagestart361none
dcterms.bibliographicCitation.pageend392none
bua.departmentMathematisch-Naturwissenschaftliche Fakultätnone

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