/lp/springer-journals/the-sample-average-approximation-method-applied-to-stochastic-routing-UlLVfaKMv4
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- Publisher
- Springer Journals
- Copyright
- Copyright © 2003 by Kluwer Academic Publishers
- Subject
- Mathematics; Optimization; Operations Research, Management Science; Operation Research/Decision Theory; Statistics, general; Convex and Discrete Geometry
- ISSN
- 0926-6003
- eISSN
- 1573-2894
- DOI
- 10.1023/A:1021814225969
- Publisher site
- See Article on Publisher Site
Abstract
The sample average approximation (SAA) method is an approach for solving stochastic optimization problems by using Monte Carlo simulation. In this technique the expected objective function of the stochastic problem is approximated by a sample average estimate derived from a random sample. The resulting sample average approximating problem is then solved by deterministic optimization techniques. The process is repeated with different samples to obtain candidate solutions along with statistical estimates of their optimality gaps.
Journal
Computational Optimization and Applications – Springer Journals
Published: Oct 6, 2004