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Computer simulation of the stochastic transport equation
(EMAp - Escola de Matemática Aplicada, 2015)
In this article the numerical approximation of the stochastic transport equation is considered. We propose a new computational scheme for the effective simulation of the solutions of this equation. Results on the convergence ...
Non-asymptotic confidence bounds for the optimal value of a stochastic program
(EMAp - Escola de Matemática Aplicada, 2016)
We discuss a general approach to building non-asymptotic confidence bounds for stochastic optimization problems. Our principal contribution is the observation that a Sample Average Approximation of a problem supplies upper ...
Building a stochastic programming model from scratch: a harvesting management example
(Routledge, 2016)
We analyse how to deal with the uncertainty before solving a stochastic optimization problem and we apply it to a forestry management problem. In particular, we start from historical data to build a stochastic process for ...
Strong solution of the stochastic Burgers equation
(Taylor & Francis LtdAbingdonInglaterra, 2014)
Locally Linearized methods for the simulation of stochastic oscillators driven by random forces
(Springer, 2017-03)
In this work, the performance of Locally Linearized integrators for the numerical simulation of stochastic oscillators driven by random forces is studied. This includes the reproduction of a number of dynamical properties ...
A Numerical method for the semilinear stochastic transport equation
(EMAp - Escola de Matemática Aplicada, 2015)
We propose a new numerical method for the computer simulation of the semi-linear transport equation. Based on the stochastic characteristic method and the Local Linearization technique, we construct an effi cient and stable ...