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A Guide to Sample Average Approximation

In: Handbook of Simulation Optimization

Citations

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Cited by:

  1. Eric Larsen & Sébastien Lachapelle & Yoshua Bengio & Emma Frejinger & Simon Lacoste-Julien & Andrea Lodi, 2022. "Predicting Tactical Solutions to Operational Planning Problems Under Imperfect Information," INFORMS Journal on Computing, INFORMS, vol. 34(1), pages 227-242, January.
  2. Irawan, Chandra Ade & Jones, Dylan & Hofman, Peter S. & Zhang, Lina, 2023. "Integrated strategic energy mix and energy generation planning with multiple sustainability criteria and hierarchical stakeholders," European Journal of Operational Research, Elsevier, vol. 308(2), pages 864-883.
  3. Luofeng Liao & Yuan Gao & Christian Kroer, 2022. "Statistical Inference for Fisher Market Equilibrium," Papers 2209.15422, arXiv.org.
  4. Azcárate, Cristina & Mallor, Fermín & Mateo, Pedro, 2017. "Tactical and operational management of wind energy systems with storage using a probabilistic forecast of the energy resource," Renewable Energy, Elsevier, vol. 102(PB), pages 445-456.
  5. Singham, D.I., 2019. "Sample average approximation for the continuous type principal-agent problem," European Journal of Operational Research, Elsevier, vol. 275(3), pages 1050-1057.
  6. David Bergman & Carlos Cardonha & Jason Imbrogno & Leonardo Lozano, 2023. "Optimizing the Expected Maximum of Two Linear Functions Defined on a Multivariate Gaussian Distribution," INFORMS Journal on Computing, INFORMS, vol. 35(2), pages 304-317, March.
  7. So Yeon Chun & Miguel A. Lejeune, 2020. "Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution," Management Science, INFORMS, vol. 66(8), pages 3735-3753, August.
  8. Bayliss, Christopher & Currie, Christine S.M. & Bennell, Julia A. & Martinez-Sykora, Antonio, 2021. "Queue-constrained packing: A vehicle ferry case study," European Journal of Operational Research, Elsevier, vol. 289(2), pages 727-741.
  9. Kim, Sojung & Weber, Stefan, 2022. "Simulation methods for robust risk assessment and the distorted mix approach," European Journal of Operational Research, Elsevier, vol. 298(1), pages 380-398.
  10. Alberto Santis & Tommaso Giovannelli & Stefano Lucidi & Mauro Messedaglia & Massimo Roma, 2023. "A simulation-based optimization approach for the calibration of a discrete event simulation model of an emergency department," Annals of Operations Research, Springer, vol. 320(2), pages 727-756, January.
  11. Jyotirmoy Dalal & Halit Üster, 2018. "Combining Worst Case and Average Case Considerations in an Integrated Emergency Response Network Design Problem," Transportation Science, INFORMS, vol. 52(1), pages 171-188, January.
  12. Suvrajeet Sen & Yifan Liu, 2016. "Mitigating Uncertainty via Compromise Decisions in Two-Stage Stochastic Linear Programming: Variance Reduction," Operations Research, INFORMS, vol. 64(6), pages 1422-1437, December.
  13. Andrew F. Siegel & Michael R. Wagner, 2021. "Profit Estimation Error in the Newsvendor Model Under a Parametric Demand Distribution," Management Science, INFORMS, vol. 67(8), pages 4863-4879, August.
  14. Yifei Sun & Usha Nandini Raghavan & Vikrant Vaze & Christopher S Hall & Patricia Doyle & Stacey Sullivan Richard & Christoph Wald, 2021. "Stochastic programming for outpatient scheduling with flexible inpatient exam accommodation," Health Care Management Science, Springer, vol. 24(3), pages 460-481, September.
  15. Daniel Bartl & Ludovic Tangpi, 2020. "Non-asymptotic convergence rates for the plug-in estimation of risk measures," Papers 2003.10479, arXiv.org, revised Oct 2022.
  16. Shehadeh, Karmel S. & Cohn, Amy E.M. & Epelman, Marina A., 2019. "Analysis of models for the Stochastic Outpatient Procedure Scheduling Problem," European Journal of Operational Research, Elsevier, vol. 279(3), pages 721-731.
  17. Daniel Bartl & Shahar Mendelson, 2021. "On Monte-Carlo methods in convex stochastic optimization," Papers 2101.07794, arXiv.org, revised Jan 2022.
  18. Dmitry B. Rokhlin, 2020. "Relative utility bounds for empirically optimal portfolios," Papers 2006.05204, arXiv.org.
  19. Kyle Cooper & Susan R. Hunter & Kalyani Nagaraj, 2020. "Biobjective Simulation Optimization on Integer Lattices Using the Epsilon-Constraint Method in a Retrospective Approximation Framework," INFORMS Journal on Computing, INFORMS, vol. 32(4), pages 1080-1100, October.
  20. Mavromatidis, Georgios & Orehounig, Kristina & Carmeliet, Jan, 2018. "Design of distributed energy systems under uncertainty: A two-stage stochastic programming approach," Applied Energy, Elsevier, vol. 222(C), pages 932-950.
  21. Backe, Stian & Ahang, Mohammadreza & Tomasgard, Asgeir, 2021. "Stable stochastic capacity expansion with variable renewables: Comparing moment matching and stratified scenario generation sampling," Applied Energy, Elsevier, vol. 302(C).
  22. Marlin Ulmer & Martin Savelsbergh, 2020. "Workforce Scheduling in the Era of Crowdsourced Delivery," Transportation Science, INFORMS, vol. 54(4), pages 1113-1133, July.
  23. Illana Bendavid & Yariv N. Marmor & Boris Shnits, 2018. "Developing an optimal appointment scheduling for systems with rigid standby time under pre-determined quality of service," Flexible Services and Manufacturing Journal, Springer, vol. 30(1), pages 54-77, June.
  24. Liujia Hu & Sigrún Andradóttir, 2019. "An Asymptotically Optimal Set Approach for Simulation Optimization," INFORMS Journal on Computing, INFORMS, vol. 31(1), pages 21-39, February.
  25. Qi Fan & Jiaqiao Hu, 2018. "Surrogate-Based Promising Area Search for Lipschitz Continuous Simulation Optimization," INFORMS Journal on Computing, INFORMS, vol. 30(4), pages 677-693, November.
  26. Miao Bai & Robert H. Storer & Gregory L. Tonkay, 2022. "Surgery Sequencing Coordination with Recovery Resource Constraints," INFORMS Journal on Computing, INFORMS, vol. 34(2), pages 1207-1223, March.
  27. Dmitry B. Rokhlin, 2021. "Relative utility bounds for empirically optimal portfolios," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 93(3), pages 437-462, June.
  28. Ahmadi-Javid, Amir & Jalali, Zahra & Klassen, Kenneth J, 2017. "Outpatient appointment systems in healthcare: A review of optimization studies," European Journal of Operational Research, Elsevier, vol. 258(1), pages 3-34.
  29. Zhaolin Hu & Dali Zhang, 2018. "Utility‐based shortfall risk: Efficient computations via Monte Carlo," Naval Research Logistics (NRL), John Wiley & Sons, vol. 65(5), pages 378-392, August.
  30. Chen, Y. & Trifkovic, M., 2018. "Optimal scheduling of a microgrid in a volatile electricity market environment: Portfolio optimization approach," Applied Energy, Elsevier, vol. 226(C), pages 703-712.
  31. Sojung Kim & Stefan Weber, 2020. "Simulation Methods for Robust Risk Assessment and the Distorted Mix Approach," Papers 2009.03653, arXiv.org, revised Jan 2022.
  32. Bernard G. Zweers & Sandjai Bhulai & Rob D. Mei, 2021. "Planning hinterland container transportation in congested deep-sea terminals," Flexible Services and Manufacturing Journal, Springer, vol. 33(3), pages 583-622, September.
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