Notes on approximation of stochastic programming problem

Conference Paper (international conference)

Šmíd Martin

serial: Proceedings of the 21st International Conference Mathematical Methods in Economics 2003, p. 244-251 , Eds: Houška M.

publisher: Czech University of Agriculture, (Prague 2003)

action: MME 2003, (Prague, CZ, 10.09.2003-12.09.2003)

research: CEZ:AV0Z1075907

project(s): GA402/01/0539GA ČR

keywords: stochastic programming, discretization, Monte Carlo

abstract (eng):

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.

Cosati: 12B

RIV: AH