On a multistage discrete stochastic optimization problem with stochastic constraints and nested sampling

We consider a multistage stochastic discrete program in which constraints on any stage might involve expectations that cannot be computed easily and are approximated by simulation. We study a sample average approximation (SAA) approach that uses nested sampling, in which at each stage, a number of s...

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Bibliographic Details
Main Authors: Thuy Anh Ta, Tien Mai, Fabian Bastin, Pierre L’Ecuyer
Format: Bài trích
Language:eng
Published: Mathematical Programming 2021
Subjects:
Online Access:https://link.springer.com/article/10.1007/s10107-020-01518-w
https://dlib.phenikaa-uni.edu.vn/handle/PNK/2857
https://doi.org/10.1007/s10107-020-01518-w
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