| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0411233 |
| utime |
20240103182311.8 |
| mtime |
20060210235959.9 |
| ISBN |
80-213-1046-4 |
| title
(primary) (eng) |
Notes on approximation of stochastic programming problem |
| publisher |
| place |
Prague |
| name |
Czech University of Agriculture |
| pub_time |
2003 |
|
| specification |
|
| serial |
| title
|
Proceedings of the 21st International Conference Mathematical Methods in Economics 2003 |
| page_num |
244-251 |
| editor |
|
|
| keyword |
stochastic programming |
| 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. |
|
| COSATI |
12B |
| cas_special |
| project |
| project_id |
GA402/01/0539 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0008959 |
|
| research |
CEZ:AV0Z1075907 |
| abstract
(eng) |
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. |
| action |
| ARLID |
cav_un_auth*0213063 |
| name |
MME 2003 |
| place |
Prague |
| country |
CZ |
| dates |
10.09.2003-12.09.2003 |
|
| RIV |
AH |
| department |
E |
| permalink |
http://hdl.handle.net/11104/0131319 |
| ID_orig |
UTIA-B 20030220 |
| arlyear |
2003 |
| mrcbU10 |
2003 |
| mrcbU10 |
Prague Czech University of Agriculture |
| mrcbU12 |
80-213-1046-4 |
| mrcbU63 |
Proceedings of the 21st International Conference Mathematical Methods in Economics 2003 244 251 |
| mrcbU67 |
Houška M. 340 |
|