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2003-07-25Buch DOI: 10.18452/8298
Epi-convergent discretizations of stochastic programs via integration quadratures
dc.contributor.authorPennanen, Teemu
dc.contributor.authorKoivu, Matti
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:53:37Z
dc.date.available2017-06-16T19:53:37Z
dc.date.created2006-03-01
dc.date.issued2003-07-25
dc.date.submitted2003-07-04
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8950
dc.description.abstractModern integration quadratures are designed to produce finitely supported approximations of a given (probability) measure. This makes them well suited for discretization of stochastic programs. We give conditions that guarantee the epi-convergence of resulting objectives to the original one. Our epi-convergence result is closely related to some of the exisiting ones but it is easier to apply to discretizations. As examples, we will verify the conditions for discretizations of three different models of portfolio management and we study the behavior of various discretizations numerically. In our tests, modern quadratures clearly outperform crude Monte Carlo sampling in discretization of stochastic programs.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subject.ddc510 Mathematik
dc.titleEpi-convergent discretizations of stochastic programs via integration quadratures
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-110-18452/8950-8
dc.identifier.doihttp://dx.doi.org/10.18452/8298
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-publisher-nameSpringer
local.edoc.container-publisher-placeBerlin [u.a.]
local.edoc.container-volume2003
local.edoc.container-issue16
local.edoc.container-year2005
local.edoc.container-erstkatid2936317-2

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