Least squares approximation to the distribution of project completion times with Gaussian uncertainty

• Main Authors: ZHENG, Zhichao, Natarajan, Karthik, TEO, Chung-Piaw
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2016
• Subjects: Distribution Approximation; Persistency; Stein's Identity; Project Management; Statistical Timing Analysis; Business; Operations and Supply Chain Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/5126; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6125/viewcontent/LeastSquaresApproximationDistributionProjectCompletionTimesGaussianUncertainty.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 random objective coefficients follow a multivariate normal distribution? Using Stein’s Identity, we show that the least squares no...