403 search results - page 5 / 81 » Sampling Bounds for Stochastic Optimization |
MP
1998
13 years 9 months ago
1998
INFORMATICALT
2000
13 years 9 months ago
2000
Methods for solving stochastic optimization problems by Monte-Carlo simulation are considered. The stoping and accuracy of the solutions is treated in a statistical manner, testing...
CORR
2011
Springer
13 years 4 months ago
2011
Springer
The Shannon-McMillan-Breiman theorem asserts that the sample entropy of a stationary and ergodic stochastic process converges to the entropy rate of the same process almost surely...
CCE
2004
13 years 9 months ago
2004
This work focuses on the basic stochastic decomposition (SD) algorithm of Higle and Sen [J.L. Higle, S. Sen, Stochastic Decomposition, Kluwer Academic Publishers, 1996] for two-st...
ORL
2008
13 years 9 months ago
2008
We propose a sample average approximation (SAA) method for stochastic programming problems involving an expected value constraint. Such problems arise, for example, in portfolio s...