Conditioning of convex piecewise linear stochastic programs

Alexander Shapiro, Tito Homem-De-Mello, Joocheol Kim

Producción científica: Contribución a una revistaArtículorevisión exhaustiva

49 Citas (Scopus)

Resumen

In this paper we consider stochastic programming problems where the objective function is given as an expected value of a convex piecewise linear random function. With an optimal solution of such a problem we associate a condition number which characterizes well or ill conditioning of the problem. Using theory of Large Deviations 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.

Idioma originalInglés
Páginas (desde-hasta)1-19
Número de páginas19
PublicaciónMathematical Programming
Volumen94
N.º1
DOI
EstadoPublicada - dic. 2002
Publicado de forma externa

Huella

Profundice en los temas de investigación de 'Conditioning of convex piecewise linear stochastic programs'. En conjunto forman una huella única.

Citar esto