On complexity of multistage stochastic programs

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 Cram

• Type: Journal
• Year: 2006
• Where: ORL
• Authors: Alexander Shapiro
• Keywords: Large Deviations, Multistage Stochastic Programming, ORL 2006, Stochastic Programming