most citedAsymptotic Properties of Monte Carlo Methods in Elliptic PDE-Constrained Optimization under Uncertainty

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math.OC2021★ 2 cited

Asymptotic Properties of Monte Carlo Methods in Elliptic PDE-Constrained Optimization under Uncertainty

Werner Römisch, Thomas M. Surowiec

Monte Carlo approximations for random linear elliptic PDE constrained optimization problems are studied. We use empirical process theory to obtain best possible mean convergence ra…

math.OC2013★ 1 cited

Are Quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?

H. Heitsch, H. Leövey, W. Römisch

Quasi-Monte Carlo algorithms are studied for designing discrete approximations of two-stage linear stochastic programs. Their integrands are piecewise linear, but neither smooth no…