The Expected loss in the discretization of multistage stochastic programming problems - estimation and convergence rate.
Martin SmídPublished in: Ann. Oper. Res. (2009)
Keyphrases
- multistage
- convergence rate
- expected loss
- stochastic programming problems
- step size
- convergence speed
- production system
- dynamic programming
- single stage
- learning rate
- stochastic programming
- lot sizing
- stochastic optimization
- error rate
- numerical stability
- global convergence
- gradient method
- mutation operator
- primal dual
- interconnection networks
- active learning
- learning algorithm
- optimal policy
- faster convergence rate