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Journal Article

The Expected Loss in the Discretization of Multistage Stochastic Programming Problems - Estimation and Convergence Rate

Šmíd Martin

: Annals of Operations Research vol.165, 1 (2009), p. 29-45

: CEZ:AV0Z10750506

: GA402/04/1294, GA ČR

: multistage stochastic programming problems, approximation, discretization, Monte Carlo

: 10.1007/s10479-008-0355-9

: expected loss in the discretization of multistage stochastic programming problems - estimation and convergence rate.pdf

(eng): 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.

(cze): V článku presentujeme přibližný výpočet vícestupňového problému stochastického programování.

: BB