Robust sample average approximation
Sample average approximation (SAA) is a widely popular approach to data-driven decision-making under uncertainty. Under mild assumptions, SAA is both tractable and enjoys strong asymptotic performance guarantees. Similar guarantees, however, do not typically hold in finite samples. In this paper, we...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
Springer Berlin Heidelberg
2018
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| Online Access: | http://hdl.handle.net/1721.1/117477 https://orcid.org/0000-0002-1985-1003 |