Variable-sample methods for stochastic optimization
Published in ACM Transactions on Modeling and Computer Simulation • Apr 1, 2003
NobleIDNI2P69W07R80S04
Authors:
Tito Homem‐de‐Mello
Abstract
In this article we discuss the application of a certain class of Monte Carlo methods to stochastic optimization problems. Particularly, we study variable-sample techniques, in which the objective function is replaced, at each iteration , by a sample average approximation. We first provide general re...
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