Revisiting some results on the sample complexity of multistage stochastic programs and some extensions

In this work we present explicit definitions for the sample complexity associated with the Sample Average Approximation (SAA) Method for instances and classes of multistage stochastic optimization problems. For such, we follow the same notion firstly considered in Kleywegt et al. (2001). We define the sample complexity for an arbitrary class of problems by… CONTINUE READING