Related papers: Identifying Effective Scenarios for Sample Average…
Sample-average approximations (SAA) are a practical means of finding approximate solutions of stochastic programming problems involving an extremely large (or infinite) number of scenarios. SAA can also be used to find estimates of a lower…
We present adaptive sequential SAA (sample average approximation) algorithms to solve large-scale two-stage stochastic linear programs. The iterative algorithm framework we propose is organized into \emph{outer} and \emph{inner} iterations…
Sample average approximation (SAA) is a tractable approach for dealing with chance constrained programming, a challenging stochastic optimization problem. The constraint of SAA is characterized by the $0/1$ loss function which results in…
We revisit the sample average approximation (SAA) approach for non-convex stochastic programming. We show that applying the SAA approach to problems with expected value equality constraints does not necessarily result in asymptotic…
Sample average approximation (SAA) is a technique for obtaining approximate solutions to stochastic programs that uses the average from a random sample to approximate the expected value that is being optimized. Since the outcome from…
This article describes a novel approach to chance-constrained programming based on the sample average approximation (SAA) method. Recent work focuses on heuristic approximations to the SAA problem and we introduce a novel approach which…
Sample average approximation (SAA), a popular method for tractably solving stochastic optimization problems, enjoys strong asymptotic performance guarantees in settings with independent training samples. However, these guarantees are not…
Sample average approximation (SAA) is a widely popular approach to data-driven decision-making under uncertainty. Under mild assumptions, SAA is both tractable and enjoys strong asymptotic performance guarantees. Similar guarantees,…
We consider constrained optimization problems with a nonsmooth objective function in the form of mathematical expectation. The Sample Average Approximation (SAA) is used to estimate the objective function and variable sample size strategy…
This paper concerns a high-dimensional stochastic programming problem of minimizing a function of expected cost with a matrix argument. To this problem, one of the most widely applied solution paradigms is the sample average approximation…
Two-stage stochastic optimization is a framework for modeling uncertainty, where we have a probability distribution over possible realizations of the data, called scenarios, and decisions are taken in two stages: we make first-stage…
Sample average approximation (SAA) replaces an intractable expected objective by an empirical average and is a basic device of modern stochastic optimization. We develop a rate theory for optimal values and empirical…
The scenario approach is widely used in robust control system design and chance-constrained optimization, maintaining convexity without requiring assumptions about the probability distribution of uncertain parameters. However, the approach…
We investigate sample average approximation (SAA) for two-stage stochastic programs without relatively complete recourse, i.e., for problems in which there are first-stage feasible solutions that are not guaranteed to have a feasible…
We consider stochastic optimization problems which use observed data to estimate essential characteristics of the random quantities involved. Sample average approximation (SAA) or empirical (plug-in) estimation are very popular ways to use…
This paper is a study on solutions of the Sample Average Approximation Method to solve compound stochastic programs. We derive nonasymptotic upper estimates for probabilities of the approximation errors. The results depend on the sample…
We study sample average approximations (SAA) of chance constrained programs. SAA methods typically approximate the actual distribution in the chance constraint using an empirical distribution constructed from random samples assumed to be…
The sample average approximation (SAA) approach is applied to risk-neutral optimization problems governed by semilinear elliptic partial differential equations with random inputs. After constructing a compact set that contains the SAA…
When there are infinitely many scenarios, the current studies of two-stage stochastic programming problems rely on the relatively complete recourse assumption. However, such assumption can be unrealistic for many real-world problems. This…
In this paper, we examine the Sample Average Approximation (SAA) procedure within a framework where the Monte Carlo estimator of the expectation is biased. We also introduce Multilevel Monte Carlo (MLMC) in the SAA setup to enhance the…