학술논문
Monte Carlo simulation approach to stochastic programming
Document Type
Conference
Author
Source
Proceeding of the 2001 Winter Simulation Conference (Cat. No.01CH37304) Winter simulation conference Simulation Conference, 2001. Proceedings of the Winter. 1:428-431 vol.1 2001
Subject
Language
Abstract
Various stochastic programming problems can be formulated as problems of optimization of an expected value function. Quite often the corresponding expectation function cannot be computed exactly and should be approximated, say by Monte Carlo sampling methods. In fact, in many practical applications, Monte Carlo simulation is the only reasonable way of estimating the expectation function. In this paper we discuss convergence properties of the sample average approximation (SAA) approach to stochastic programming. We argue that the SAA method is easily implementable and can be surprisingly efficient for some classes of stochastic programming problems.