Quasi-Monte Carlo methods for linear two-stage stochastic programming problems (Q2349126): Difference between revisions

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+Algorithm 659
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+Introduction to Time Series and Forecasting
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+Walsh Spaces Containing Smooth Functions and Quasi–Monte Carlo Rules of Arbitrary High Order
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+High-dimensional integration: The quasi-Monte Carlo way
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+Liberating the weights
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+The smoothing effect of integration in $\mathbb {R}^d$ and the ANOVA decomposition
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+Numerical integration using sparse grids
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+Dimension-wise integration of high-dimensional functions with applications to finance
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+The smoothing effect of the ANOVA decomposition
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+Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?
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+A generalized discrepancy and quadrature error bound
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+A Class of Statistics with Asymptotically Normal Distribution
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+On Rates of Convergence for Stochastic Optimization Problems Under Non–Independent and Identically Distributed Sampling
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+Remark on algorithm 659
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+Variance reduction in sample approximations of stochastic programs
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+Component-by-component constructions achieve the optimal rate of convergence for multivariate integration in weighted Korobov and Sobolev spaces
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+QUASI-MONTE CARLO METHODS FOR HIGH-DIMENSIONAL INTEGRATION: THE STANDARD (WEIGHTED HILBERT SPACE) SETTING AND BEYOND
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+Q5713157
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+Randomly shifted lattice rules with the optimal rate of convergence for unbounded integrands
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+On decompositions of multivariate functions
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+Tensor Analysis of ANOVA Decomposition
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+Monte Carlo and quasi-Monte Carlo sampling
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+Estimating Mean Dimensionality of Analysis of Variance Decompositions
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+Mersenne twister
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+High dimensional integration of smooth functions over cubes
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+Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
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+Monte Carlo Variance of Scrambled Net Quadrature
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+Q4801738
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+Multidimensional Variation for Quasi-Monte Carlo
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+Better estimation of small sobol' sensitivity indices
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+The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
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+Epi-convergent discretizations of stochastic programs via integration quadratures
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+Variational Analysis
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+Lectures on Stochastic Programming
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+When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
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+Constructing Randomly Shifted Lattice Rules in Weighted Sobolev Spaces
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+On the distribution of points in a cube and the approximate evaluation of integrals
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+Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
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+Bases in function spaces, sampling, discrepancy, numerical integration
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+Lifting projections of convex polyhedra
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+The effective dimension and quasi-Monte Carlo integration
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+Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?
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+Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction
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+Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program
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