Variance reduction in sample approximations of stochastic programs

Mathematical Programming

Volumn 103, Issue 3, 2005, Pages 463-485

  Koivu, Matti ^a  

^a HELSINKI SCHOOL OF ECONOMICS   (Finland)

Author keywords

Antithetic variates; Discretization; Randomized quasi monte carlo methods; Stochastic optimization; Variance reduction techniques

Indexed keywords

ALGEBRA; APPROXIMATION THEORY; DECISION MAKING; INTEGRAL EQUATIONS; INTEGRATION; MONTE CARLO METHODS; PROBABILITY; PROBLEM SOLVING; SET THEORY;

ANTITHETIC VARIATES; DISCRETIZATION; RANDOMIZED QUASI MONTE CARLO METHODS; STOCHASTIC OPTIMIZATION; VARIANCE REDUCTION TECHNIQUES;

STOCHASTIC PROGRAMMING;

EID: 21644462379     PISSN: 00255610     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10107-004-0557-0     Document Type: Article

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