Institute of Information Theory and Automation

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Publication details

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

Journal Article

Šmíd Martin

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

research: CEZ:AV0Z10750506

project(s): GAP402/11/0150, GA ČR, GAP402/10/0956, GA ČR, GA402/09/0965, GA ČR

keywords: Stochastic programming, approximation, stratified sampling

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abstract (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.


2012-12-21 16:10