32 search results - page 1 / 7 » Sample Average Approximation Methods for a Class of Stochast... |
APJOR
2010
13 years 4 months ago
2010
In this paper we apply the well known sample average approximation (SAA) method to solve a class of stochastic variational inequality problems (SVIPs). We investigate the existenc...
MP
2006
13 years 4 months ago
2006
The vast size of real world stochastic programming instances requires sampling to make them practically solvable. In this paper we extend the understanding of how sampling affects ...
SIAMJO
2002
13 years 4 months ago
2002
In this paper we study a Monte Carlo simulation based approach to stochastic discrete optimization problems. The basic idea of such methods is that a random sample is generated and...
APPROX
2005
Springer
13 years 10 months ago
2005
Springer
A large class of stochastic optimization problems can be modeled as minimizing an objective function f that depends on a choice of a vector x ∈ X, as well as on a random external...
ORL
2008
13 years 4 months ago
2008
We propose a sample average approximation (SAA) method for stochastic programming problems involving an expected value constraint. Such problems arise, for example, in portfolio s...