Convergence properties of two-stage stochastic programming (Q5925743): Difference between revisions
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The aim of the authors is to investigate a convergence rate of empirical estimates in the case of stochastic programming problems with mathematical expectation in the objective function and a ``deterministic'' constraint set. Of course, two-stage stochastic programming problems belong to this type of the problems. First, they recall a (rather complete) survey of the papers dealing with the empirical estimates in the case of independent random sample. Papers devoted to dependent (mixing) random samples are not mentioned. Furthermore, employing the ``later'' results on the large deviations, a valuable generalization of the former results is obtained. Especially, valuable results are introduced for the empirical estimates of the optimal solution. The main results are presented for independent random samples. However, generalization to the Markov type of dependence is also discussed. Special attention is paid to the case of the quadratic objective function. To illustrate the problem as well as to demonstrate the results on a numerical example the vendor problem is employed. | |||
| Property / review text: The aim of the authors is to investigate a convergence rate of empirical estimates in the case of stochastic programming problems with mathematical expectation in the objective function and a ``deterministic'' constraint set. Of course, two-stage stochastic programming problems belong to this type of the problems. First, they recall a (rather complete) survey of the papers dealing with the empirical estimates in the case of independent random sample. Papers devoted to dependent (mixing) random samples are not mentioned. Furthermore, employing the ``later'' results on the large deviations, a valuable generalization of the former results is obtained. Especially, valuable results are introduced for the empirical estimates of the optimal solution. The main results are presented for independent random samples. However, generalization to the Markov type of dependence is also discussed. Special attention is paid to the case of the quadratic objective function. To illustrate the problem as well as to demonstrate the results on a numerical example the vendor problem is employed. / rank | |||
Normal rank | |||
| Property / reviewed by | |||
| Property / reviewed by: Vlasta Kaňková / rank | |||
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Revision as of 16:38, 21 December 2023
scientific article; zbMATH DE number 1566529
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence properties of two-stage stochastic programming |
scientific article; zbMATH DE number 1566529 |
Statements
Convergence properties of two-stage stochastic programming (English)
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19 February 2001
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stochastic programming
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stochastic optimization
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sample paths
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convergence rates
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empirical means
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The aim of the authors is to investigate a convergence rate of empirical estimates in the case of stochastic programming problems with mathematical expectation in the objective function and a ``deterministic'' constraint set. Of course, two-stage stochastic programming problems belong to this type of the problems. First, they recall a (rather complete) survey of the papers dealing with the empirical estimates in the case of independent random sample. Papers devoted to dependent (mixing) random samples are not mentioned. Furthermore, employing the ``later'' results on the large deviations, a valuable generalization of the former results is obtained. Especially, valuable results are introduced for the empirical estimates of the optimal solution. The main results are presented for independent random samples. However, generalization to the Markov type of dependence is also discussed. Special attention is paid to the case of the quadratic objective function. To illustrate the problem as well as to demonstrate the results on a numerical example the vendor problem is employed.
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