On sample size control in sample average approximations for solving smooth stochastic programs

Abstract

We consider smooth stochastic programs and develop a discrete-time optimal-control problem for adaptively selecting sample sizes in a class of algorithms based on sample average approximations (SAA). The control problem aims to minimize the expected computational cost to obtain a near-optimal solution of a stochastic program and is solved approximately… (More)
DOI: 10.1007/s10589-012-9528-1

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