Simulation-based confidence bounds for two-stage stochastic programs
نویسندگان
چکیده
منابع مشابه
Simulation-based confidence bounds for two-stage stochastic programs
This paper provides a rigorous asymptotic analysis and justification of upper and lower confidence bounds proposed by Dantzig and Infanger (1995) for an iterative sampling-based decomposition algorithm, introduced by Dantzig and Glynn (1990) and Infanger (1992), for solving two-stage stochastic programs. Extensions of the theory to cover use of variance reduction, different iterative sampling s...
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Two-stage stochastic programs with random right-hand side are considered. Optimal values and solution sets are regarded as mappings of the expected recourse functions and their perturbations, respectively. Conditions are identiied implying that these mappings are directionally diierentiable and semidiieren-tiable on appropriate functional spaces. Explicit formulas for the derivatives are derive...
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ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2013
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-012-0621-0