A Guide to Sample Average Approximation. Kim, S., Pasupathy, R., & Henderson, S. G. In Handbook of Simulation Optimization, volume 216, of International Series in Operations Research & Management Science, 8. Springer New York, 2015.
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Paper abstract bibtex 4 downloads
Paper abstract bibtex 4 downloads We provide a review of the principle of sample-average approximation (SAA) for solving simulation-optimization problems. Our goal is to provide an accessible overview of the area and emphasize in- teresting recent work. We explain when one might want to use SAA and when one might expect it to provide good-quality solutions. We also review some of the key theoretical properties of the solutions obtained through SAA. We contrast SAA with stochastic approximation (SA) methods in terms of the computational effort required to obtain solutions of a given quality, explaining why SA ``wins'' asymptotically. However, an extension of SAA known as retrospective optimization can match the asymptotic convergence rate of SA, at least up to a multiplicative constant.
@incollection{kimpashen12,
abstract = {We provide a review of the principle of sample-average approximation (SAA) for solving simulation-optimization problems. Our goal is to provide an accessible overview of the area and emphasize in- teresting recent work. We explain when one might want to use SAA and when one might expect it to provide good-quality solutions. We also review some of the key theoretical properties of the solutions obtained through SAA. We contrast SAA with stochastic approximation (SA) methods in terms of the computational effort required to obtain solutions of a given quality, explaining why SA ``wins'' asymptotically. However, an extension of SAA known as retrospective optimization can match the asymptotic convergence rate of SA, at least up to a multiplicative constant.},
author = {Sujin Kim and Raghu Pasupathy and Shane G. Henderson},
booktitle = {Handbook of Simulation Optimization},
chapter = {8},
date-added = {2016-01-10 16:07:54 +0000},
date-modified = {2016-01-10 16:07:54 +0000},
editor = {Michael C. Fu},
publisher = {Springer New York},
series = {International Series in Operations Research \& Management Science},
title = {A Guide to Sample Average Approximation},
url_paper = {pubs/SAAGuide.pdf},
volume = {216},
year = {2015}}Downloads: 4
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