Variance reduction in sample approximations of stochastic programs

DOI10.1007/s10107-004-0557-0zbMath1099.90036OpenAlexW2151194818MaRDI QIDQ2487848

Matti Koivu

Publication date: 8 August 2005

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/8978

zbMATH Keywords

Stochastic optimizationDiscretizationRandomized quasi-Monte Carlo methodsAntithetic variatesVariance reduction techniques

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic programming (90C15)

Related Items (19)

Variance reduction in Monte Carlo sampling-based optimality gap estimators for two-stage stochastic linear programming ⋮ Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs? ⋮ An empirical analysis of scenario generation methods for stochastic optimization ⋮ Reformulation and sampling to solve a stochastic network interdiction problem ⋮ Consistency of statistical estimators of solutions to stochastic optimization problems ⋮ Importance Sampling in Stochastic Programming: A Markov Chain Monte Carlo Approach ⋮ Unnamed Item ⋮ Importance sampling in stochastic optimization: an application to intertemporal portfolio choice ⋮ A probability metrics approach for reducing the bias of optimality gap estimators in two-stage stochastic linear programming ⋮ Generic Consistency for Approximate Stochastic Programming and Statistical Problems ⋮ Variance reduction for sequential sampling in stochastic programming ⋮ Financial scenario generation for stochastic multi-stage decision processes as facility location problems ⋮ Solving ALM problems via sequential stochastic programming ⋮ Quality evaluation of scenario-tree generation methods for solving stochastic programming problems ⋮ Stochastic programming approach to optimization under uncertainty ⋮ On the Scenario-Tree Optimal-Value Error for Stochastic Programming Problems ⋮ Convergent bounds for stochastic programs with expected value constraints ⋮ Quasi-Monte Carlo methods for linear two-stage stochastic programming problems ⋮ Two-stage linear decision rules for multi-stage stochastic programming

Uses Software

• MersenneTwister
• SUTIL
• Algorithm 647

Cites Work

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