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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| Main Authors: | , , , |
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| Format: | Bài trích |
| Language: | eng |
| Published: |
Mathematical Programming
2021
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| 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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