Variance reduction in sample approximations of stochastic programs
نویسندگان
چکیده
منابع مشابه
Variance reduction in sample approximations of stochastic programs
This paper studies the use of randomized Quasi-Monte Carlo methods (RQMC) in sample approximations of stochastic programs. In high dimensional numerical integration, RQMC methods often substantially reduce the variance of sample approximations compared to MC. It seems thus natural to use RQMC methods in sample approximations of stochastic programs. It is shown, that RQMC methods produce epi-con...
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ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2004
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-004-0557-0