16 search results - page 1 / 4 » Solving multistage asset investment problems by the sample a... |
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 ...
ORL
2006
13 years 4 months ago
2006
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 aver...
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...
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...
FOCS
2005
IEEE
13 years 10 months ago
2005
IEEE
Stochastic optimization problems provide a means to model uncertainty in the input data where the uncertainty is modeled by a probability distribution over the possible realizatio...