two-stage stochastic programming with recourse

On Rates of Convergence for Stochastic Optimization Problems Under Non-I.I.D. Sampling

Published: 2006/04/17, Updated: 2009/07/08

Optimization of Simulated Systems, Stochastic Programming latin hypercube sampling, monte carlo simulation, quasi-monte carlo methods, sample average approximation, stochastic optimization, two-stage stochastic programming with recourse, variance reduction techniques

In this paper we discuss the issue of solving stochastic optimization problems by means of sample average approximations. Our focus is on rates of convergence of estimators of optimal solutions and optimal values with respect to the sample size. This is a well-studied problem in case the samples are independent and identically distributed (i.e., when … Read more