The expected loss in the discretization of multistage stochastic programming problems---estimation and convergence rate
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Publication:1026536
DOI10.1007/s10479-008-0355-9zbMath1163.90676MaRDI QIDQ1026536
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
90C15: Stochastic programming
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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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