Least squares approximation to stochastic optimization problems

• Main Authors: ZHENG, Zhichao, NATARAJAN, Karthik, TEO, Chung-Piaw
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: distribution approximation; persistency; Stein’s Identity; project management; fill rate; G/G/1 queue; transient solution; Business
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/4524; https://ink.library.smu.edu.sg/context/lkcsb_research/article/5523/viewcontent/LeastSquares.pdf
• Institution: 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...