منابع مشابه
Robust sample average approximation
Sample average approximation (SAA) is a widely popular approach to data-driven decisionmaking under uncertainty. Under mild assumptions, SAA is both tractable and enjoys strong asymptotic performance guarantees. Similar guarantees, however, do not typically hold in finite samples. In this paper, we propose a modification of SAA, which we term Robust SAA, which retains SAA’s tractability and asy...
متن کاملUncertainty in Sample Average Approximation
We consider stochastic optimization problems in which the input probability distribution is not fully known, and can only be observed through data. Common procedures handle such problems by optimizing an empirical counterpart, namely via using an empirical distribution of the input. The optimal solutions obtained through such procedures are hence subject to uncertainty of the data. In this pape...
متن کاملOptimal Budget Allocation for Sample Average Approximation
The sample average approximation approach to solving stochastic programs induces a sampling error, caused by replacing an expectation by a sample average, as well as an optimization error due to approximating the solution of the resulting sample average problem. We obtain estimators of an optimal solution and the optimal value of the original stochastic program after executing a finite number o...
متن کاملA Guide to Sample-Average Approximation
We provide a review of the principle of sample-average approximation (SAA) for solving simulationoptimization problems. Our goal is to provide an accessible overview of the area and emphasize interesting recent work. We explain when one might want to use SAA and when one might expect it to provide good-quality solutions. We also review some of the key theoretical properties of the solutions obt...
متن کاملSample average approximation of expected value constrained stochastic programs
We propose a sample average approximation (SAA) method for stochastic programming problems involving an expected value constraint. Such problems arise, for example, in portfolio selection with constraints on conditional value-at-risk (CVaR). Our contributions include an analysis of the convergence rate and a statistical validation scheme for the proposed SAA method. Computational results using ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2017
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-017-1174-z