134 search results - page 2 / 27 » The empirical behavior of sampling methods for stochastic pr... |
ORL
2006
13 years 5 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...
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...
SAGA
2005
Springer
13 years 11 months ago
2005
Springer
Abstract. In this paper, a Stochastic Dynamic Facility Location Problem (SDFLP) is formulated. In the first part, an exact solution method based on stochastic dynamic programming ...
ORL
2008
13 years 5 months ago
2008
We discuss the almost-sure convergence of a broad class of sampling algorithms for multi-stage stochastic linear programs. We provide a convergence proof based on the finiteness o...
WSC
2001
13 years 7 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...