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2008-04-05Buch DOI: 10.18452/8391
Epi-convergent scenario generation method for stochastic problems via sparse grid
dc.contributor.authorChen, Michael
dc.contributor.authorMehrotra, Sanjay
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T20:17:28Z
dc.date.available2017-06-16T20:17:28Z
dc.date.created2008-04-14
dc.date.issued2008-04-05
dc.date.submitted2008-02-15
dc.identifier.urihttp://edoc.hu-berlin.de/18452/9043
dc.description.abstractOne central problem in solving stochastic programming problems is to generate moderate-sized scenario trees which represent well the risk faced by a decision maker. In this paper we propose an efficient scenario generation method based on sparse grid, and prove it is epi-convergent. Furthermore, we show numerically that the proposed method converges to the true optimal value fast in comparisonwith Monte Carlo and Quasi Monte Carlo methods.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subject.ddc510 Mathematik
dc.titleEpi-convergent scenario generation method for stochastic problems via sparse grid
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-110-18452/9043-6
dc.identifier.doihttp://dx.doi.org/10.18452/8391
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-placeNorthwestern University, Evanston
local.edoc.container-volume2008
local.edoc.container-issue7
local.edoc.container-year2007
local.edoc.container-erstkatid2936317-2

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