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Numerical study of discretizations of multistage stochastic programs
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 statistica…
Creator
- Hilli, Petri
- Pennanen, Teemu
Subject
- stochastic programming
- discretization
- integration quadratures
- simulation
Type of item
- model:article
Creator
- Hilli, Petri
- Pennanen, Teemu
Subject
- stochastic programming
- discretization
- integration quadratures
- simulation
Type of item
- model:article
Providing institution
Aggregator
Rights statement for the media in this item (unless otherwise specified)
- http://creativecommons.org/publicdomain/mark/1.0/
Rights
- policy:public
Place-Time
- [185]-204
Source
- Kybernetika | 2008 Volume:44 | Number:2
Identifier
- uuid:c09465a8-8168-412b-b5f1-188fbef1bf17
- https://cdk.lib.cas.cz/client/handle/uuid:c09465a8-8168-412b-b5f1-188fbef1bf17
- uuid:c09465a8-8168-412b-b5f1-188fbef1bf17
Format
- bez média
- svazek
Language
- eng
- eng
Providing country
- Czech Republic
Collection name
First time published on Europeana
- 2021-06-01T12:19:28.026Z
Last time updated from providing institution
- 2021-06-01T12:19:28.026Z