Sample Average Approximation Method for Chance Constrained Programming: Theory and Applications
نویسندگان
چکیده
منابع مشابه
Sample Average Approximation Method for Chance Constrained Programming: Theory and Applications
We study sample approximations of chance constrained problems. In particular, we consider the sample average approximation (SAA) approach and discuss the convergence properties of the resulting problem. We discuss how one can use the SAA method to obtain good candidate solutions for chance constrained ( )Departamento de Matemática, Pontif́ıcia Universidade Católica do Rio de Janeiro, Rio de Jane...
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In this paper, we present a new scheme of a sampling method to solve chance constrained programs. First of all, a modified sample average approximation, namely Partial Sample Average Approximation (PSAA) is presented. The main advantage of our approach is that the PSAA problem has only continuous variables whilst the standard sample average approximation (SAA) contains binary variables. Althoug...
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ژورنال
عنوان ژورنال: Journal of Optimization Theory and Applications
سال: 2009
ISSN: 0022-3239,1573-2878
DOI: 10.1007/s10957-009-9523-6