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12

ORL
2006

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On complexity of multistage stochastic programs

13 years 4 months ago

On complexity of multistage stochastic programs

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In this paper we derive estimates of the sample sizes required to solve a multistage stochastic programming problem with a given accuracy by the (conditional sampling) sample average approximation method. The presented analysis is self contained and is based on a, relatively elementary, one dimensional Cram

Alexander Shapiro

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Large Deviations | Multistage Stochastic Programming | ORL 2006 | Stochastic Programming |

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Added	14 Dec 2010
Updated	14 Dec 2010
Type	Journal
Year	2006
Where	ORL
Authors	Alexander Shapiro

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