Abstract. We investigate the quality of solutions obtained from sample-average approximations to two-stage stochastic linear programs with recourse. We use a recently developed sof...
We consider discrete stochastic optimization problems where the objective function can only be estimated by a simulation oracle; the oracle is defined only at the discrete points....
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 aver...
Abstract. In this paper, a Stochastic Dynamic Facility Location Problem (SDFLP) is formulated. In the first part, an exact solution method based on stochastic dynamic programming ...
— This paper addresses model reduction for a Markov chain on a large state space. A simulation-based framework is introduced to perform state aggregation of the Markov chain base...