Online Resource
Berlin : Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
Format:
1 Online-Ressource (15 Seiten)
Series Statement:
Stochastic Programming E-Print Series 2000,2000,15
Content:
In this paper we consider stochastic programming problems where the objective function is given as an expected value function. With an optimal solution of such a (convex) problem we associate a condition number which characterizes well or ill conditioning of the problem. We show that the sample size needed to calculate the optimal solution of such problem with a given probability is approximately proportional to the condition number.
Language:
English
URN:
urn:nbn:de:kobv:11-10057688
URL:
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