Chapter2014

A Guide to Sample Average Approximation

Sujin Kim · Raghu Pasupathy · Shane G. Henderson

287 citations0/0 files storedInternational series in management science/operations research/International series in operations research & management science

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Simulation Techniques and Applications Risk and Portfolio Optimization Stochastic Gradient Optimization Techniques

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1951A Stochastic Approximation Method 2011Introduction to Stochastic Programming 1952Stochastic Estimation of the Maximum of a Regression Function 2002The Sample Average Approximation Method for Stochastic Discrete Optimization 2003Stochastic Approximation and Recursive Algorithms and Applications 1992Acceleration of Stochastic Approximation by Averaging 1998Introduction to Stochastic Programming 2009Lectures on Stochastic Programming: Modeling and Theory

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