An Introductory Note to Sample Average Approximation

Details An Introductory Note to Sample Average Approximation An Introductory Note to Sample Average Approximation

2011-10-09

arxiv.org/abs/1110.1892v1

Mathematics

Optimization and Control

8 pages, working draft

Scientific paper

The sample average approximation method to stochastic combinatorial
optimization is a powerful technique for approximating last scale stochastic
optimization problems. In this tutorial we introduce this technique and we
present several examples that demonstrate how to apply this technique to
chance-constrained optimization problems.

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