Approximate solutions to convex optimization problems under stochastic uncertainty
نویسندگان
چکیده
منابع مشابه
Stochastic programming approach to optimization under uncertainty
In this paper we discuss computational complexity and risk averse approaches to two and multistage stochastic programming problems. We argue that two stage (say linear) stochastic programming problems can be solved with a reasonable accuracy by Monte Carlo sampling techniques while there are indications that complexity of multistage programs grows fast with increase of the number of stages. We ...
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ژورنال
عنوان ژورنال: PAMM
سال: 2006
ISSN: 1617-7061,1617-7061
DOI: 10.1002/pamm.200610002