On complexity of multistage stochastic programs
نویسنده
چکیده
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.
منابع مشابه
A 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.
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ورودعنوان ژورنال:
- Oper. Res. Lett.
دوره 34 شماره
صفحات -
تاریخ انتشار 2006