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Art LaPella (talk | contribs) m →Multistage portfolio optimization: I put the period inside the <math> expression, because the period was appearing on a line all by itself. |
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This formulation is known as the ''Sample Average Approximation'' method. The SAA problem is a function of the considered sample and in that sense is random. For a given sample <math>\xi^1,\xi^2,\dots,\xi^N</math> the SAA problem is of the same form as a two-stage stochastic linear programming problem with the scenarios <math>\xi^j</math>., <math>j=1,\dots,N</math>, each taken with the same probability <math>p_j=\frac{1}{N}</math>.
== Statistical
Consider the following stochastic programming problem
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