81 search results - page 3 / 17 » The Sample Average Approximation Method for Stochastic Discr... |
ANOR
2006
13 years 8 months ago
2006
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...
WSC
2008
13 years 11 months ago
2008
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....
ORL
2006
13 years 8 months ago
2006
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...
SAGA
2005
Springer
14 years 2 months ago
2005
Springer
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 ...
CDC
2009
IEEE
14 years 1 months ago
2009
IEEE
— 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...