On complexity of multistage stochastic programs

DOI10.1016/J.ORL.2005.02.003zbMath1080.90056OpenAlexW2064227123MaRDI QIDQ2583700

Alexander Shapiro

Publication date: 18 January 2006

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2005.02.003

zbMATH Keywords

complexitystochastic programmingMonte Carlo samplingsample average methodlarge deviations exponential bounds

Mathematics Subject Classification ID

Abstract computational complexity for mathematical programming problems (90C60) Stochastic programming (90C15)

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Uses Software

• SUTIL

Cites Work

• Unnamed Item
• Monte Carlo bounding techniques for determinig solution quality in stochastic programs
• Inference of statistical bounds for multistage stochastic programming problems
• The sample average approximation method applied to stochastic routing problems: a computational study
• The empirical behavior of sampling methods for stochastic programming
• The Sample Average Approximation Method for Stochastic Discrete Optimization
• Monte Carlo sampling approach to stochastic programming

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