Numerical study of discretizations of multistage stochastic programs

Title:

Numerical study of discretizations of multistage stochastic programs

Creator:

Hilli, Petri and Pennanen, Teemu

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:c09465a8-8168-412b-b5f1-188fbef1bf17
uuid:c09465a8-8168-412b-b5f1-188fbef1bf17

Subject:

stochastic programming, discretization, integration quadratures, and simulation

Type:

model:article and TEXT

Format:

bez média and svazek

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.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

[185]-204

Source:

Kybernetika | 2008 Volume:44 | Number:2

Harvested from:

CDK

Metadata only:

false