On complexity of multistage stochastic programs
نویسندگان
چکیده
منابع مشابه
On complexity of multistage stochastic programs
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 average approximation method. The presented analysis is self contained and is based on a, relatively elementary, one dimensional Cramér’s Large Deviations Theorem.
متن کاملA note on complexity of multistage stochastic programs
In Shapiro [2006], estimates of the sample sizes required to solve a multistage stochastic programming problem with a given accuracy by the conditional sample average approximation method were derived. In this paper we construct an example in the multistage setting that shows that these estimates cannot be significantly improved.
متن کاملA note on sample complexity of multistage stochastic programs
We derive a lower bound for the sample complexity of the Sample Average Approximation method for a certain class of multistage stochastic optimization problems. In previous works, upper bounds for such problems were derived. We show that the dependence of the lower bound with respect to the complexity parameters and the problem's data are comparable to the upper bound's estimates. Like previous...
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We study quantitative stability of linear multistage stochastic programs under perturbations of the underlying stochastic processes. It is shown that the optimal values behave Lipschitz continuous with respect to an Lp-distance. Therefor, we have to make a crucial regularity assumption on the conditional distributions, that allows to establish continuity of the recourse function with respect to...
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It is well known that risk-averse multistage stochastic optimization problems are often not in the form of a dynamic stochastic program, i.e. are not dynamically decomposable. In this paper we demonstrate how some of these problems may be extended in such a way that they are accessible to dynamic algorithms. The key technique is a new recursive formulation for the Average Value-atRisk. To this ...
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ژورنال
عنوان ژورنال: Operations Research Letters
سال: 2006
ISSN: 0167-6377
DOI: 10.1016/j.orl.2005.02.003