Published Online: 15 FEB 2011
Copyright © 2010 John Wiley & Sons, Inc. All rights reserved.
Wiley Encyclopedia of Operations Research and Management Science
How to Cite
Shapiro, A. 2011. Sampling Methods. Wiley Encyclopedia of Operations Research and Management Science. .
- Published Online: 15 FEB 2011
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.
- stochastic programming;
- Monte Carlo sampling;
- scenario generation;
- sample average approximation method;
- complexity estimates;
- chance constraints;
- stochastic approximation;
- multistage programming