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On Rates of Convergence for Stochastic Optimization Problems Under Non–Independent and Identically Distributed Sampling
16 references·9 citing·29 second hop
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References

  • 2000A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code8,233 cited
  • 2011Introduction to Stochastic Programming6,469 cited
  • 1987Large Sample Properties of Simulations Using Latin Hypercube Sampling2,483 cited
  • 2002The Sample Average Approximation Method for Stochastic Discrete Optimization1,989 cited
  • 2003Scenario Reduction Algorithms in Stochastic Programming983 cited
  • 2003Monte Carlo Sampling Methods916 cited
  • 1991Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse452 cited
  • 2006The empirical behavior of sampling methods for stochastic programming426 cited
  • 1995Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method383 cited
  • 2001Scenario tree generation for multiperiod financial optimization by optimal discretization337 cited
  • 1997An Efficient Sampling Technique for Off-Line Quality Control326 cited
  • 1998A simulation-based approach to two-stage stochastic programming with recourse290 cited
  • 1991Asymptotic analysis of stochastic programs258 cited
  • 2000On the Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs253 cited

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1996
Analysis of Sample-Path Optimization
248 cited
  • 1992Monte Carlo (importance) sampling within a benders decomposition algorithm for stochastic linear programs209 cited
  • Cited by

    • 2009Assessing Solution Quality in Stochastic Programs via Sampling53 cited
    • 2018Two-stage linear decision rules for multi-stage stochastic programming44 cited
    • 2023Optimized Scenario Reduction: Solving Large-Scale Stochastic Programs with Quality Guarantees42 cited
    • 2010The impact of sampling methods on bias and variance in stochastic linear programs39 cited
    • 2018Quantitative stability analysis for minimax distributionally robust risk optimization38 cited
    • 2012Stability analysis of stochastic programs with second order dominance constraints37 cited
    • 2011Convergence of Stationary Points of Sample Average Two-Stage Stochastic Programs: A Generalized Equation Approach34 cited
    • 2013Sample Average Approximation Method for Compound Stochastic Optimization Problems33 cited
    • 2012Newsvendor-type models with decision-dependent uncertainty25 cited