Article ID Journal Published Year Pages File Type
1143449 Operations Research Letters 2006 8 Pages PDF
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
,