Corpus ID: 91184522

Identifying Effective Scenarios for Sample Average Approximation.

  title={Identifying Effective Scenarios for Sample Average Approximation.},
  author={Lijian Chen},
  journal={arXiv: Optimization and Control},
  • Lijian Chen
  • Published 2 April 2019
  • Mathematics
  • arXiv: Optimization and Control
We introduce a method to improve the tractability of the well-known Sample Average Approximation (SAA) without compromising important theoretical properties, such as convergence in probability and the consistency of an independent and identically distributed (iid) sample. We consider each scenario as a polyhedron of the mix of first-stage and second-stage decision variables. According to John's theorem, the Lowner-John ellipsoid of each polyhedron will be unique which means that different… Expand
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