Unit Stratified Sampling as a Tool for Approximation of Stochastic Optimization Problems

<p><p><span style="font-size: 11.000000pt; font-family: 'CMR10';">We apply stratified sampling with equiprobable strata and a single observa- tion drawn from each stratum to the approximate computation of stochastic programming problems. We determine the convergence rate of the approximation error both when com- puting expectations and when approximating stochastic programming problems.</span>

MoreLess

Year of publication:	2012
Authors:	Smid, Martin
Published in:	Bulletin of the Czech Econometric Society. - Česká ekonometrická společnost - CES. - Vol. 19.2012
Publisher:	Česká ekonometrická společnost - CES

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011152555