Continuous Optimization pp 111-146

Part of the Applied Optimization book series (APOP, volume 99)

On Complexity of Stochastic Programming Problems

  • Alexander Shapiro
  • Arkadi Nemirovski

Summary

The main focus of this paper is in a discussion of complexity of stochastic programming problems. We argue that two-stage (linear) stochastic programming problems with recourse can be solved with a reasonable accuracy by using Monte Carlo sampling techniques, while multistage stochastic programs, in general, are intractable. We also discuss complexity of chance constrained problems and multistage stochastic programs with linear decision rules.

Key words

stochastic programming complete recourse chance constraints Monte Carlo sampling SAA method large deviations bounds convex programming multi-stage stochastic programming 

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Copyright information

© Springer Science+Business Media, Inc. 2005

Authors and Affiliations

  • Alexander Shapiro
    • 1
  • Arkadi Nemirovski
    • 2
  1. 1.Georgia Institute of TechnologyAtlantaUSA
  2. 2.Technion — Israel Institute of TechnologyHaifaIsrael

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