81 search results - page 1 / 17 » The Sample Average Approximation Method for Stochastic Discr... |
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...
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...
APJOR
2010
13 years 5 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 ...
CPAIOR
2008
Springer
13 years 6 months ago
2008
Springer
The one-step anticipatory algorithm (1s-AA) is an online algorithm making decisions under uncertainty by ignoring future non-anticipativity constraints. It makes near-optimal decis...