81 search results - page 4 / 17 » The Sample Average Approximation Method for Stochastic Discr... |
SIAMCO
2000
13 years 8 months ago
2000
It is shown here that stability of the stochastic approximation algorithm is implied by the asymptotic stability of the origin for an associated ODE. This in turn implies convergen...
INFORMS
2008
13 years 8 months ago
2008
We present a stochastic approximation method to compute bid prices in network revenue management problems. The key idea is to visualize the total expected revenue as a function of...
MP
2006
13 years 8 months ago
2006
Monte Carlo methods have been used extensively in the area of stochastic programming. As with other methods that involve a level of uncertainty, theoretical properties are required...
ICPR
2010
IEEE
13 years 6 months ago
2010
IEEE
A novel stochastic searching scheme based on the Monte Carlo optimization is presented for polygonal approximation (PA) problem. We propose to combine the split-and-merge based lo...
MOC
2000
13 years 8 months ago
2000
We study the pathwise (strong) approximation of scalar stochastic differential equations with respect to the global error in the L2-norm. For equations with additive noise we estab...