Content deleted Content added
most of the article deals with the scenario-based methods so I've separated the definition of the problem and the description of one method of solving it |
→Monte Carlo sampling and Sample Average Approximation (SAA) Method: Changed "replications of the random vector" to "realizations of the random vector". |
||
Line 113:
====Monte Carlo sampling and Sample Average Approximation (SAA) Method====
A common approach to reduce the scenario set to a manageable size is by using Monte Carlo simulation. Suppose the total number of scenarios is very large or even infinite. Suppose further that we can generate a sample <math>\xi^1,\xi^2,\dots,\xi^N</math> of <math>N</math>
<math>
| |||