Computational complexity of stochastic programming: Monte Carlo sampling approach

MaRDI QIDQ3096726zbMATH OpenFDO

Authors Alexander Shapiro

Publication date 11 November 2011

Full work available at URL http://ebooks.worldscinet.com/ISBN/9789814324359/9789814324359_0175.html

zbMATH Keywords

asymptoticscomputational complexitydynamic programmingMonte Carlo samplingsample average approximationstochastic approximationstochastic programming

Mathematics Subject Classification ID

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

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Cited in

(13)

• Monte Carlo (importance) sampling within a Benders decomposition algorithm for stochastic linear programs
• A stability result for linear Markovian stochastic optimization problems
• On the information-based complexity of stochastic programming
• Computational complexity of stochastic programming problems
• Tree approximation for discrete time stochastic processes: a process distance approach
• A comment on ``Computational complexity of stochastic programming problems
• On the computational complexity and generalization properties of multi-stage and stage-wise coupled scenario programs
• The computational complexity of stochastic optimization
• Computational Complexity Analysis for Monte Carlo Approximations of Classically Scaled Population Processes
• On complexity of stochastic programming problems
• Expected residual minimization formulation for stochastic absolute value equations
• Weighted Birkhoff averages: deterministic and probabilistic perspectives
• Stochastic programming approach to optimization under uncertainty

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