On a multistage discrete stochastic optimization problem with stochastic constraints and nested sampling

• Main Authors: TA, Thuy Anh, MAI, Tien, BASTIN, Fabian, L'ECUYER, Pierre
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2021
• Subjects: Sample average approximation; Multistage stochastic program; Expected value constraints; Convergence rate; Staffing optimization; Databases and Information Systems; Numerical Analysis and Scientific Computing; Theory and Algorithms
• Online Access: https://ink.library.smu.edu.sg/sis_research/5281; https://ink.library.smu.edu.sg/context/sis_research/article/6284/viewcontent/SAA_convergence_MathProg_R2.pdf
• Institution: Singapore Management University

We consider a multistage stochastic discrete program in which constraints on any stage might involve expectations that cannot be computed easily and are approximated by simulation. We study a sample average approximation (SAA) approach that uses nested sampling, in which at each stage, a number of s...