Comparison of Sampling Methods for Dynamic Stochastic Programming

DOI10.1007/978-1-4419-9586-5_16MaRDI QIDQ4613830zbMATH OpenOpenAlexFDO

Authors E. A. Medova, Yee Sook Yong, M. A. H. Dempster

Publication date 25 January 2019

Published in International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4419-9586-5_16

zbMATH Keywords

discretization errorin-sample and out-of-sample testssampling methodsscenario generationscenario-based approximationstochastic programming

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Dynamic programming (90C39)

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Cites work

• A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code
• A heuristic for moment-matching scenario generation
• Evaluation of scenario generation methods for stochastic programming
• Financial scenario generation for stochastic multi-stage decision processes as facility location problems
• Generating scenario trees for multistage decision problems
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• Monte Carlo sampling approach to stochastic programming
• No-arbitrage conditions, scenario trees, and multi-asset financial optimization
• Scenarios for multistage stochastic programs

Cited in

(8)

• Multi-stage portfolio selection problem with dynamic stochastic dominance constraints
• Importance sampling in stochastic optimization: an application to intertemporal portfolio choice
• Event tree based sampling
• An empirical analysis of scenario generation methods for stochastic optimization
• Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
• Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas
• The value and cost of more stages in stochastic programming: a statistical analysis on a set of portfolio choice problems
• A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems

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