Brekelmans, Ruud; Den Hertog, Dick; Hamers, H.J.M.; … - Tilburg University, Center for Economic Research - 2003
In this paper we use Lagrange interpolation polynomials to obtain good gradient estimations.This is e.g. important for nonlinear programming solvers.As an error criterion we take the mean squared error.This error can be split up into a deterministic and a stochastic error.We analyze these errors...