Adaptive Design in Discrete Stochastic Optimization

Pflug GC (1994). Adaptive Design in Discrete Stochastic Optimization. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-94-059

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Abstract

We present adaptive assignment rules for the design of the necessary simulations when solving discrete stochastic optimization problems. The rules are constructed in such a way, that the expected size of confidence sets for the optimizer is as small as possible.

Item Type: Monograph (IIASA Working Paper)
Research Programs: Optimization under Uncertainty (OPT)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:04
Last Modified: 21 Jul 2016 06:14
URI: http://pure.iiasa.ac.at/4152

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