Standard Article

Sampling Methods

  1. Alexander Shapiro

Published Online: 15 FEB 2011

DOI: 10.1002/9780470400531.eorms0743

Wiley Encyclopedia of Operations Research and Management Science

Wiley Encyclopedia of Operations Research and Management Science

How to Cite

Shapiro, A. 2011. Sampling Methods. Wiley Encyclopedia of Operations Research and Management Science. .

Author Information

  1. School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia

Publication History

  1. Published Online: 15 FEB 2011

Abstract

This article deals with Monte Carlo sampling–based approaches to solving two-stage stochastic programming and chance-constrained problems. Sample size estimates, required to solve a considered problem with a given accuracy, are discussed from theoretical and practical points of view. Difficulties with extending these techniques to multistage programming are pointed out.

Keywords:

  • stochastic programming;
  • Monte Carlo sampling;
  • scenario generation;
  • sample average approximation method;
  • complexity estimates;
  • chance constraints;
  • stochastic approximation;
  • multistage programming