A sample average approximation-based heuristic for the stochastic production routing problem
Sign Up to like & getrecommendations! Published in 2024 at "Central European Journal of Operations Research"
DOI: 10.1007/s10100-024-00913-4
Abstract: The Production Routing Problem under demand uncertainty is an integrated problem containing production, inventory, and distribution decisions. At the planning level, the aim is to meet retailers demand, when only the demand distribution is known… read more here.
Keywords: problem; average approximation; production routing; sample average ... See more keywords
Convergence analysis of sample average approximation for a class of stochastic nonlinear complementarity problems: from two-stage to multistage
Sign Up to like & getrecommendations! Published in 2021 at "Numerical Algorithms"
DOI: 10.1007/s11075-021-01110-z
Abstract: In this paper, we consider the sample average approximation (SAA) approach for a class of stochastic nonlinear complementarity problems (SNCPs) and study the corresponding convergence properties. We first investigate the convergence of the SAA counterparts… read more here.
Keywords: class stochastic; sample average; average approximation; stage ... See more keywords
Inference on a New Class of Sample Average Treatment Effects
Sign Up to like & getrecommendations! Published in 2020 at "Journal of the American Statistical Association"
DOI: 10.1080/01621459.2020.1730854
Abstract: Abstract We derive new variance formulas for inference on a general class of estimands of causal average treatment effects in a randomized control trial. We generalize the seminal work of Robins and show that when… read more here.
Keywords: average treatment; class; treatment; inference new ... See more keywords
An Implementable SAA Nonlinear Lagrange Algorithm for Constrained Minimax Stochastic Optimization Problems
Sign Up to like & getrecommendations! Published in 2018 at "Mathematical Problems in Engineering"
DOI: 10.1155/2018/5498760
Abstract: This paper proposes an implementable SAA (sample average approximation) nonlinear Lagrange algorithm for the constrained minimax stochastic optimization problem based on the sample average approximation method. A computable nonlinear Lagrange function with sample average approximation… read more here.
Keywords: implementable saa; lagrange algorithm; sample average; nonlinear lagrange ... See more keywords
Sample average approximation of conditional value-at-risk based variational inequalities
Sign Up to like & getrecommendations! Published in 2022 at "Optimization Letters"
DOI: 10.48550/arxiv.2208.11403
Abstract: This paper focuses on a class of variational inequalities (VIs), where the map defining the VI is given by the component-wise conditional value-at-risk (CVaR) of a random function. We focus on solving the VI using… read more here.
Keywords: sample average; conditional value; value risk; average approximation ... See more keywords