A note on sample complexity of multistage stochastic programs

DOI10.1016/j.orl.2016.04.005zbMath1380.90206OpenAlexW2338895417MaRDI QIDQ1694765

M. M. C. R. Reaiche

Publication date: 6 February 2018

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

Full work available at URL: https://doi.org/10.1016/j.orl.2016.04.005

zbMATH Keywords

complexitystochastic programmingMonte Carlo samplingsample average method

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Monte Carlo methods (65C05) Abstract computational complexity for mathematical programming problems (90C60) Stochastic programming (90C15)

Related Items (4)

On complexity of multistage stochastic programs under heavy tailed distributions ⋮ A note on sample complexity of multistage stochastic programs ⋮ Quantitative stability of multistage stochastic programs via calm modifications ⋮ Convergence analysis of sample average approximation for a class of stochastic nonlinear complementarity problems: from two-stage to multistage

Cites Work

• No-arbitrage conditions, scenario trees, and multi-asset financial optimization
• Discretized reality and spurious profits in stochastic programming models for asset/liability management
• A note on sample complexity of multistage stochastic programs
• On complexity of multistage stochastic programs
• The Sample Average Approximation Method for Stochastic Discrete Optimization
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