Sample Average Approximation
Statistical guarantees for SAA in stochastic programs.
Sample Average Approximation. Statistical guarantees for SAA in stochastic programs.
Foundations and canonical references
The standard treatments of sample average approximation approach the subject from complementary angles. Shapiro, Lectures on Stochastic Programming: Modeling and Theory (2014) is the anchor reference for the subject and lays out the core definitions, theorems, and worked examples that practitioners return to.
Open methodological questions for sample average approximation include sharpening the bridges between foundational theory and computational practice, extending classical results to broader or more structured settings, and integrating the techniques surveyed above with adjacent mathematical disciplines. The references listed in this page are the entry points that current work builds on.
Prerequisites
Sources
- textbook · primary · 2014Lectures on Stochastic Programming: Modeling and Theoryshapiro-2014, dentcheva-2014, ruszczynski-2014
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