1. Numerical study of discretizations of multistage stochastic programs
- Creator:
- Hilli, Petri and Pennanen, Teemu
- Format:
- bez média and svazek
- Type:
- model:article and TEXT
- Subject:
- stochastic programming, discretization, integration quadratures, and simulation
- Language:
- English
- Description:
- This paper presents a numerical study of a deterministic discretization procedure for multistage stochastic programs where the underlying stochastic process has a continuous probability distribution. The discretization procedure is based on quasi-Monte Carlo techniques originally developed for numerical multivariate integration. The solutions of the discretized problems are evaluated by statistical bounds obtained from random sample average approximations and out-of-sample simulations. In the numerical tests, the optimal values of the discretizations as well as their first-stage solutions approach those of the original infinite-dimensional problem as the discretizations are made finer.
- Rights:
- http://creativecommons.org/publicdomain/mark/1.0/ and policy:public