2000-01-31Buch DOI: 10.18452/8226
Stochastic programming by Monte Carlo simulation methods
We consider in this paper stochastic programming problems which can be formulated as an optimization problem of an expected value function subject to deterministic constraints. We discuss a Monte Carlo simulation approach based on sample average approximations to a numerical solution of such problems. In particular, we give a survey of a statistical inference of the sample average estimators of the optimal value and optimal solutions of the true problem. We also discuss stopping rules and a validation analysis for such sample average approximation optimization procedures and give some illustration examples.
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Is Part Of Series: Stochastic Programming E-Print Series - 3, SPEPS