Unit Stratified Sampling as a Tool for Approximation of Stochastic Optimization Problems
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.
Volume (Year): 19 (2012)
Issue (Month): 30 ()
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