Conditioning of convex piecewise linear stochastic programs

A Shapiro, T Homem-de-Mello, J Kim - Mathematical Programming, 2002 - Springer
Mathematical Programming, 2002Springer
In this paper we consider stochastic programming problems where the objective function is
given as an expected value of a convex piecewise linear random function. With an optimal
solution of such a problem we associate a condition number which characterizes well or ill
conditioning of the problem. Using theory of Large Deviations 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.
Abstract
 In this paper we consider stochastic programming problems where the objective function is given as an expected value of a convex piecewise linear random function. With an optimal solution of such a problem we associate a condition number which characterizes well or ill conditioning of the problem. Using theory of Large Deviations 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.
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