Original title: Notes on approximation of stochastic programming problem
Authors: Šmíd, Martin
Document type: Papers
Conference/Event: MME 2003, Prague (CZ), 2003-09-10 / 2003-09-12
Year: 2003
Language: eng
Abstract: In stochastic optimization problems, expectation of random function is often being minimized. Since the expectation can rarely be evaluated exactly an approximation has to be done. In the present paper, three types of approximation are dealt with: discretization, Monte Carlo and Quasi Monte Carlo. Convergence rate of the approximation error is evaluated and some upper bounds of the error are given.
Keywords: discretization; Monte Carlo; stochastic programming
Project no.: CEZ:AV0Z1075907 (CEP), GA402/01/0539 (CEP)
Funding provider: GA ČR
Host item entry: Proceedings of the 21st International Conference Mathematical Methods in Economics 2003

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at the institute of the Academy of Sciences.
Original record: http://hdl.handle.net/11104/0131319

Permalink: http://www.nusl.cz/ntk/nusl-35018


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Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers