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Algorithm control 1 Sample average approximations 1 Sample size selection 1 Stochastic programming 1
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Royset, Johannes 1
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Computational Optimization and Applications 1
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On sample size control in sample average approximations for solving smooth stochastic programs
Royset, Johannes - In: Computational Optimization and Applications 55 (2013) 2, pp. 265-309
We consider smooth stochastic programs and develop a discrete-time optimal-control problem for adaptively selecting sample sizes in a class of algorithms based on variable sample average approximations (VSAA). The control problem aims to minimize the expected computational cost to obtain a...
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