A note on complexity of multistage stochastic programs
نویسنده
چکیده
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.
منابع مشابه
A 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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