Scenario generation for stochastic optimization problems via the sparse grid method
نویسندگان
چکیده
منابع مشابه
Scenario Generation for Stochastic Problems via the Sparse Grid Method
Efficient generation of scenarios is a central problem in evaluating the expected value of a random function in the stochastic optimization. We study the use of sparse grid scenario generation method for this purpose. We show that this method is uniformly convergent, hence, also epi-convergent. We numerically compare the performance of the sparse grid method with several Quasi Monte Carlo (QMC)...
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ژورنال
عنوان ژورنال: Computational Optimization and Applications
سال: 2015
ISSN: 0926-6003,1573-2894
DOI: 10.1007/s10589-015-9751-7