Notes on approximation of stochastic programming problem.

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F03%3A16030220" target="_blank" >RIV/67985556:_____/03:16030220 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Notes on approximation of stochastic programming problem.
Original language description
In stochastic optimization problems, expectation of random function is often being minimized. Since the expectation can rarely be evaluated exactly an approximation has to be done. In the present paper, three types of approximation are dealt with: discretization, Monte Carlo and Quasi Monte Carlo. Convergence rate of the approximation error is evaluated and some upper bounds of the error are given.
Czech name
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Czech description
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Project
<a href="/en/project/GA402%2F01%2F0539" target="_blank" >GA402/01/0539: Development and Decision under Uncertainty in Economic Time Dependent Systems</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year
2003
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 21st International Conference Mathematical Methods in Economics 2003.
ISBN
80-213-1046-4
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
244-251
Publisher name
Czech University of Agriculture
Place of publication
Prague
Event location
Prague [CZ]
Event date
Sep 10, 2003
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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