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39

MP
2002

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Conditioning of convex piecewise linear stochastic programs

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Conditioning of convex piecewise linear stochastic programs

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In this paper we consider stochastic programming problems where the objective function is given as an expected value of a convex piecewise linear random function. With an optimal solution of such a problem we associate a condition number which characterizes well or ill conditioning of the problem. Using theory of Large Deviations we show that the sample size needed to calculate the optimal solution of such problem with a given probability is approximately proportional to the condition number. Key words. stochastic programming

Alexander Shapiro, Tito Homem-de-Mello, Joocheol K

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Large Deviations | MP 2002 | Optimal Solution | Stochastic Programming |

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Added	22 Dec 2010
Updated	22 Dec 2010
Type	Journal
Year	2002
Where	MP
Authors	Alexander Shapiro, Tito Homem-de-Mello, Joocheol Kim

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