The application of sparse grid quadrature in solving stochastic optimisation problems

DOI10.21914/ANZIAMJ.V60I0.14060MaRDI QIDQ6949901zbMATH OpenFDO

Authors Yuancheng Zhou, Markus Hegland

Publication date 31 July 2025

Published in The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.21914/ANZIAMJ.V60I0.14060

zbMATH Keywords

sparse gridstochastic optimizatioin

Mathematics Subject Classification ID

Numerical quadrature and cubature formulas (65D32) Stochastic programming (90C15)

Cites work

• A method for numerical integration on an automatic computer
• Applications of Stochastic Programming
• Dynamic programming and optimal control. Vol. 1.
• scientific article; zbMATH DE number 3854294 (Why is no real title available?)
• Numerical integration using sparse grids
• Scenario generation for stochastic optimization problems via the sparse grid method
• Sparse grid quadrature in high dimensions with applications in finance and insurance
• Sparse grids
• Stochastic differential equations. An introduction with applications.
• The Optimum Addition of Points to Quadrature Formulae

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