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2000-04-07Buch DOI: 10.18452/8234
Confidence level solutions for stochastic programming
Nesterov, Yu.
Vial, J.-Ph.
We propose an alternative approach to stochastic programming based on Monte-Carlo sampling and stochastic gradient optimization. The procedure is by essence probabilistic and the computed solution is a random variable. The associated objective value is doubly random, since it depends on two outcomes: the event in the stochastic program and the randomized algorithm. We propose a solution concept in which the probability that the randomized algorithm produces a solution with an expected objective value departing from the optimal one by more than $\epsilon$ is small enough. We derive complexity bounds for this process. We show that by repeating the basic process on independent sample, one can significantly sharpen the complexity bounds.
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10.18452/8234
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