The expected loss in the discretization of multistage stochastic programming problems---estimation and convergence rate

DOI10.1007/S10479-008-0355-9zbMath1163.90676OpenAlexW2082272628MaRDI QIDQ1026536

Martin Šmíd

Publication date: 25 June 2009

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-008-0355-9

zbMATH Keywords

discretizationMonte Carloapproximationmultistage stochastic programming problems

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites Work

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• Monte Carlo bounding techniques for determinig solution quality in stochastic programs
• Scenario reduction in stochastic programming
• Epi-convergent discretizations of stochastic programs via integration quadratures
• Calculation of the Wasserstein Distance Between Probability Distributions on the Line
• Scenario tree generation for multiperiod financial optimization of optimal discretization

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