monte carlo methods – Optimization Online

An empirical analysis of scenario generation methods for stochastic optimization

Published: 2016/02/10, Updated: 2016/05/08

Stochastic Programming conditional-value-at-risk, moment matching, monte carlo methods, probability metrics, sample average approximation, scenario generation, stochastic optimization, vector quantization

This work presents an empirical analysis of popular scenario generation methods for stochastic optimization, including quasi-Monte Carlo, moment matching, and methods based on probability metrics, as well as a new method referred to as Voronoi cell sampling. Solution quality is assessed by measuring the error that arises from using scenarios to solve a multi-dimensional newsvendor … Read more

Computation of Stochastic Nash Equilibrium via Variable Sample Distributed Methods

Published: 2013/11/18

Ming Dong

Lizhi Wang

Dali Zhang

Game Theory, Stochastic Programming monte carlo methods

In this paper, we propose a variable sample distributed algorithm for the computation of stochastic Nash equilibrium in which the objective functions are replaced, at each iteration, by sample average approximations. We investigate the contraction mapping properties of the variable sample distributed algorithm and show that the accuracy of estimators yielded in the algorithms to … Read more