| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1143449 | Operations Research Letters | 2006 | 8 Pages |
Abstract
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 average approximation method. The presented analysis is self-contained and is based on a relatively elementary, one-dimensional, Cramér's Large Deviations Theorem.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Alexander Shapiro,