On sample size control in sample average approximations for solving smooth stochastic programs

Johannes Royset ()

Computational Optimization and Applications, 2013, vol. 55, issue 2, 265-309

Abstract: 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 near-optimal solution of a stochastic program and is solved approximately using dynamic programming. The optimal-control problem depends on unknown parameters such as rate of convergence, computational cost per iteration, and sampling error. Hence, we implement the approach within a receding-horizon framework where parameters are estimated and the optimal-control problem is solved repeatedly during the calculations of a VSAA algorithm. The resulting sample-size selection policy consistently produces near-optimal solutions in short computing times as compared to other plausible policies in several numerical examples. Copyright Springer Science+Business Media New York (outside the USA) 2013

Keywords: Stochastic programming; Sample average approximations; Sample size selection; Algorithm control (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s10589-012-9528-1

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