Quasi-Monte Carlo methods for linear two-stage stochastic programming problems

2015/03/28 by Hernan Leövey, H. Leövey, Werner Römisch +1 · 1 citation
Decision Sciences · Mathematics · #Markov Chains and Monte Carlo Methods #Mathematical Approximation and Integration #Probabilistic and Robust Engineering Design

paper · doi:10.1007/s10107-015-0898-x

crossref issued 2015/03/28 · crossref published 2015/03/28 · crossref published-online 2015/03/28 · openalex publication_date 2015/03/28 · crossref created 2015/03/29 · crossref published-print 2015/06/01 · crossref deposited 2019/08/22 · openalex created_date 2025/10/10 · crossref indexed 2026/05/08 · openalex updated_date 2026/07/23

Citations

• A generalized discrepancy and quadrature error bound
• Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
• Mersenne twister
• Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
• Are Quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?

Cited by

• Werner Römisch [wikipedia]