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Unit Stratified Sampling as a Tool for Approximation of Stochastic Optimization Problems


  • Martin Smid



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.

Suggested Citation

  • Martin Smid, 2012. "Unit Stratified Sampling as a Tool for Approximation of Stochastic Optimization Problems," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 19(30).
  • Handle: RePEc:czx:journl:v:19:y:2012:i:30:id:204

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    References listed on IDEAS

    1. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
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    5. William A. Brock, 2001. "Growth Theory, Nonlinear Dynamics and Economic Modelling," Books, Edward Elgar Publishing, number 1491 edited by W. D. Dechert.
    6. Chiarella, Carl & He, Xue-Zhong, 2003. "Heterogeneous Beliefs, Risk, And Learning In A Simple Asset-Pricing Model With A Market Maker," Macroeconomic Dynamics, Cambridge University Press, vol. 7(04), pages 503-536, September.
    7. Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series 13, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    8. Zeeman, E. C., 1974. "On the unstable behaviour of stock exchanges," Journal of Mathematical Economics, Elsevier, vol. 1(1), pages 39-49, March.
    9. Gaunersdorfer, Andrea, 2000. "Endogenous fluctuations in a simple asset pricing model with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 799-831, June.
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