Quasi-Monte Carlo methods for linear two-stage stochastic programming problems (Q2349126)

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English	Quasi-Monte Carlo methods for linear two-stage stochastic programming problems	scientific article

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scholarly article

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Quasi-Monte Carlo methods for linear two-stage stochastic programming problems (English)

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Werner Römisch

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Mathematical Programming. Series A. Series B

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publication date

19 June 2015

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describes a project that uses

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MersenneTwister

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10107-015-0898-x

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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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Polyhedral risk measures in electricity portfolio optimization

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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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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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On the \(L_2\)-discrepancy for anchored boxes

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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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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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Identifiers

zbMATH Open document ID

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10.1007/s10107-015-0898-x

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2349126

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