The Expected loss in the discretization of multistage stochastic programming problems—estimation and convergence rate |
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Authors: | Martin Šmíd |
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Affiliation: | (1) Institute of Information Theory and Automation of the ASCR, Pod Vodárenskou věží 4, 182 08 Prague, Czech Republic |
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Abstract: | 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. |
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Keywords: | Multistage stochastic programming problems Approximation Discretization Monte Carlo |
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