A Single Timescale Stochastic Approximation Method for Nested Stochastic Optimization

A Stochastic Optimization Model for Groundwater Management

A Stochastic Approximation Method

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A Stochastic Optimization Model for Groundwater Management

The Sample Average Approximation Method for 2-stage Stochastic Optimization

We consider the Sample Average Approximation (SAA) method for 2-stage stochastic optimization problems with recourse and prove a polynomial time convergence theorem for the SAA method. In the 2-stage recourse model, where one makes decisions in two steps. First, given only distributional information about (some of) the data, one commits on initial (first-stage) actions, and then once the actual...

Sample Average Approximation Method for Compound Stochastic Optimization Problems

The paper studies stochastic optimization (programming) problems with compound functions containing expectations and extreme values of other random functions as arguments. Compound functions arise in various applications. A typical example is a variance function of nonlinear outcomes. Other examples include stochastic minimax problems, econometric models with latent variables, multi-level and m...