Least squares approximation to stochastic optimization problems

• Main Authors: ZHENG, Zhichao, NATARAJAN, Karthik, TEO, Chung-Piaw
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2015
• 主題: distribution approximation; persistency; Stein’s Identity; project management; fill rate; G/G/1 queue; transient solution; Business
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/4524; https://ink.library.smu.edu.sg/context/lkcsb_research/article/5523/viewcontent/LeastSquares.pdf
• 機構: Singapore Management University

This paper is motivated by the following question: How to construct good approximation for the distribution of the solution value to linear optimization problem when the objective function is random? More generally, we consider any mixed zero-one linear optimization problem, and develop an approach...