10 search results - page 1 / 2 » Sample average approximation of expected value constrained s... |
ORL
2008
13 years 5 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...
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...
WSC
2001
13 years 6 months ago
2001
Various stochastic programmingproblemscan be formulated as problems of optimization of an expected value function. Quite often the corresponding expectation function cannot be com...
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...
SIGECOM
2004
ACM
13 years 10 months ago
2004
ACM
In this paper, we combine two approaches to handling uncertainty: we use techniques for finding optimal solutions in the expected sense to solve combinatorial optimization proble...