A Critical Note on Empirical (Sample Average, Monte Carlo) Approximation of Solutions to Chance Constrained Programs

Abstract : The solution of chance constrained optimization problems by means of empirical approximation of the underlying multivariate distribution has recently become a popular alternative to conventional methods due to the efficient application of appropriate mixed integer programming techniques. As the complexity of required computations depends on the sample size used for approximation, exponential estimates for the precision of optimal solutions or optimal values have become a key argument for controlling the sample size. However, these exponential estimates may involve unknown constants such that the required sample size to approximate the solution of a problem may become arbitrarily large. We will illustrate this effect for Gaussian distributions.
Type de document :
Communication dans un congrès
Dietmar Hömberg; Fredi Tröltzsch. 25th System Modeling and Optimization (CSMO), Sep 2011, Berlin, Germany. Springer, IFIP Advances in Information and Communication Technology, AICT-391, pp.25-37, 2013, System Modeling and Optimization. 〈10.1007/978-3-642-36062-6_3〉
Liste complète des métadonnées

Littérature citée [6 références]  Voir  Masquer  Télécharger

https://hal.inria.fr/hal-01347518
Contributeur : Hal Ifip <>
Soumis le : jeudi 21 juillet 2016 - 11:12:05
Dernière modification le : jeudi 21 juillet 2016 - 11:48:36

Fichier

978-3-642-36062-6_3_Chapter.pd...
Fichiers produits par l'(les) auteur(s)

Licence


Distributed under a Creative Commons Paternité 4.0 International License

Identifiants

Citation

René Henrion. A Critical Note on Empirical (Sample Average, Monte Carlo) Approximation of Solutions to Chance Constrained Programs. Dietmar Hömberg; Fredi Tröltzsch. 25th System Modeling and Optimization (CSMO), Sep 2011, Berlin, Germany. Springer, IFIP Advances in Information and Communication Technology, AICT-391, pp.25-37, 2013, System Modeling and Optimization. 〈10.1007/978-3-642-36062-6_3〉. 〈hal-01347518〉

Partager

Métriques

Consultations de la notice

70

Téléchargements de fichiers

18