On sample average approximation for two-stage stochastic programs without relatively complete recourse

DOI10.1007/S10107-021-01753-9zbMATH Open1506.90177arXiv1912.13078OpenAlexW2997549357MaRDI QIDQ2097656FDOQ2097656

James Luedtke, Rui Chen

Publication date: 14 November 2022

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Abstract: We investigate sample average approximation (SAA) for two-stage stochastic programs without relatively complete recourse, i.e., for problems in which there are first-stage feasible solutions that are not guaranteed to have a feasible recourse action. As a feasibility measure of the SAA solution, we consider the "recourse likelihood", which is the probability that the solution has a feasible recourse action. For $epsilonin(0,1)$, we demonstrate that the probability that a SAA solution has recourse likelihood below $1-epsilon$ converges to zero exponentially fast with the sample size. Next, we analyze the rate of convergence of optimal solutions of the SAA to optimal solutions of the true problem for problems with a finite feasible region, such as bounded integer programming problems. For problems with non-finite feasible region, we propose modified "padded" SAA problems and demonstrate in two cases that such problems can yield, with high confidence, solutions that are certain to have a feasible recourse decision. Finally, we conduct a numerical study on a two-stage resource planning problem that illustrates the results, and also suggests there may be room for improvement in some of the theoretical analysis.

Full work available at URL: https://arxiv.org/abs/1912.13078

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zbMATH Keywords

chance constraintsstochastic programmingmixed integer programmingsample average approximation

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Stochastic programming (90C15) Mixed integer programming (90C11)

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Cited In (2)

• Special issue: Global solution of integer, stochastic and nonconvex optimization problems
• Distributionally Favorable Optimization: A Framework for Data-Driven Decision-Making with Endogenous Outliers

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