Numerical study of discretizations of multistage stochastic programs

MaRDI QIDQ3604334zbMATH OpenFDO

Authors Petri Hilli, Teemu Pennanen

Publication date 24 February 2009

Full work available at URL https://eudml.org/doc/33921, http://www.kybernetika.cz/content/2008/2/185

zbMATH Keywords

discretizationsimulationstochastic programmingintegration quadratures

Mathematics Subject Classification ID

Convex programming (90C25) Stochastic programming (90C15) Discrete approximations in optimal control (49M25)

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• Inference of statistical bounds for multistage stochastic programming problems
• Monte Carlo and Quasi-Monte Carlo Methods 2004
• Numerical recipes in C++. The art of scientific computing
• On complexity of multistage stochastic programs
• On the distribution of points in a cube and the approximate evaluation of integrals
• Scenario tree generation for multiperiod financial optimization of optimal discretization
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• Solving multistage asset investment problems by the sample average approximation method
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Cited in

(11)

• Epi-Convergent Discretizations of Multistage Stochastic Programs
• Bounds for Multistage Stochastic Programs Using Supervised Learning Strategies
• Solving sequences of refined multistage stochastic linear programs
• Epi-convergent discretizations of multistage stochastic programs via integration quadratures
• Numerical techniques in applied multistage stochastic programming
• Aggregation and discretization in multistage stochastic programming
• Epi-convergent discretizations of stochastic programs via integration quadratures
• The expected loss in the discretization of multistage stochastic programming problems---estimation and convergence rate
• Dynamic generation of scenario trees
• Hedging of long term zero-coupon bonds in a market model with reinvestment risk
• Quality evaluation of scenario-tree generation methods for solving stochastic programming problems

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Uses Software

• AMPL

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