| bibtype |
J -
Journal Article
|
| ARLID |
0314410 |
| utime |
20240111140709.2 |
| mtime |
20090325235959.9 |
| WOS |
000262310200003 |
| DOI |
10.1007/s10479-008-0355-9 |
| title
(primary) (eng) |
The Expected Loss in the Discretization of Multistage Stochastic Programming Problems - Estimation and Convergence Rate |
| specification |
| page_count |
19 s. |
| media_type |
www |
|
| serial |
| ARLID |
cav_un_epca*0250807 |
| ISSN |
0254-5330 |
| title
|
Annals of Operations Research |
| volume_id |
165 |
| volume |
1 (2009) |
| page_num |
29-45 |
| publisher |
|
|
| title
(cze) |
Očekávaná ztráta v diskretizaci vícestupňového problému stochastického programování - odhady a konvergence cen |
| keyword |
multistage stochastic programming problems |
| keyword |
approximation |
| keyword |
discretization |
| keyword |
Monte Carlo |
| author
(primary) |
| ARLID |
cav_un_auth*0101206 |
| name1 |
Šmíd |
| name2 |
Martin |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA402/04/1294 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0001810 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
In the present paper, the approximate computation of a multistage stochastic programming problem (MSSPP) is studied. First, the MSSPP and its discretization are defined. Second, the expected loss caused by the usage of the `approximate'' solution instead of the ``exact'' one is studied. Third, new results concerning approximate computation of expectations are presented. Finally, the main results of the paper - an upper bound of the expected loss and an estimate of the convergence rate of the expected loss - are stated. |
| abstract
(cze) |
V článku presentujeme přibližný výpočet vícestupňového problému stochastického programování. |
| reportyear |
2009 |
| RIV |
BB |
| permalink |
http://hdl.handle.net/11104/0164931 |
| mrcbT16-f |
1.565 |
| mrcbT16-g |
0.126 |
| mrcbT16-h |
10 |
| mrcbT16-i |
0.00939 |
| mrcbT16-j |
0.787 |
| mrcbT16-k |
3474 |
| mrcbT16-l |
119 |
| arlyear |
2009 |
| mrcbU34 |
000262310200003 WOS |
| mrcbU56 |
pdf |
| mrcbU63 |
cav_un_epca*0250807 Annals of Operations Research 0254-5330 1572-9338 Roč. 165 č. 1 2009 29 45 Springer |
|