When can we improve on sample average approximation for stochastic optimization?

DOI10.1016/j.orl.2020.05.016zbMath1479.90144arXiv1907.08334OpenAlexW3040352281MaRDI QIDQ2661521

Yanyan Li

Publication date: 7 April 2021

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

Full work available at URL: https://arxiv.org/abs/1907.08334

zbMATH Keywords

stochastic optimizationmaximum likelihood estimationkernel density estimationbaggingsample average approximation

Mathematics Subject Classification ID

Density estimation (62G07) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Point estimation (62F10) Stochastic programming (90C15)

Uses Software

• Stan

Cites Work

• Unnamed Item
• Conditional value-at-risk in portfolio optimization: coherent but fragile
• Generating random correlation matrices based on vines and extended onion method
• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
• Analyzing bagging
• The sample average approximation method applied to stochastic routing problems: a computational study
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• A Sample Approximation Approach for Optimization with Probabilistic Constraints
• Lectures on Stochastic Programming
• Multivariate Density Estimation

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