2000-06-26Buch DOI: 10.18452/8239
Conditioning of stochastic programs
In this paper we consider stochastic programming problems where the objective function is given as an expected value function. With an optimal solution of such a (convex) problem we associate a condition number which characterizes well or ill conditioning of the problem. We show that the sample size needed to calculate the optimal solution of such problem with a given probability is approximately proportional to the condition number.
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Is Part Of Series: Stochastic Programming E-Print Series - 15, SPEPS