Institute of Information Theory and Automation

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Journal Article

Unit Stratified Sampling as a Tool for Approximation of Stochastic Optimization Problems

Šmíd Martin

: Bulletin of the Czech Econometric Society vol.19, 30 (2012), p. 153-169

: CEZ:AV0Z10750506

: GAP402/11/0150, GA ČR, GAP402/10/0956, GA ČR, GA402/09/0965, GA ČR

: Stochastic programming, approximation, stratified sampling

: stratified sampling as a tool for approximation of stochastic optimization problems.pdf

(eng): We apply stratified sampling with equiprobable strata and a single observation drawn from each stratum to the approximate computation of stochastic programming problems. We determine the convergence rate of the approximation error both when computing expectations and when approximating stochastic programming problems.

: BB

2019-01-07 08:39