Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: On sample average approximation for two-stage stochastic programs
  without relatively complete recourse   We investigate sample average approximation (SAA) for two-stage stochastic
programs without relatively complete recourse, i.e., for problems in which
there are first-stage feasible solutions that are not guaranteed to have a
feasible recourse action. As a feasibility measure of the SAA solution, we
consider the "recourse likelihood", which is the probability that the solution
has a feasible recourse action. For $\epsilon \in (0,1)$, we demonstrate that
the probability that a SAA solution has recourse likelihood below $1-\epsilon$
converges to zero exponentially fast with the sample size. Next, we analyze the
rate of convergence of optimal solutions of the SAA to optimal solutions of the
true problem for problems with a finite feasible region, such as bounded
integer programming problems. For problems with non-finite feasible region, we
propose modified "padded" SAA problems and demonstrate in two cases that such
problems can yield, with high confidence, solutions that are certain to have a
feasible recourse decision. Finally, we conduct a numerical study on a
two-stage resource planning problem that illustrates the results, and also
suggests there may be room for improvement in some of the theoretical analysis.

9
The categories of this paper are: nlin
26
The categories of this paper are: bayes-an
21
The categories of this paper are: adap-org
32
The categories of this paper are: atom-ph
29
The categories of this paper are: funct-an
37
The categories of this paper are: supr-con
14
The categories of this paper are: math-ph
24
The categories of this paper are: dg-ga
13
The categories of this paper are: quant-ph
33
The categories of this paper are: plasm-ph
19
The categories of this paper are: eess
7
The categories of this paper are: hep-th
15
The categories of this paper are: nucl-ex
6
The categories of this paper are: astro-ph
3
The categories of this paper are: physics
16
The categories of this paper are: stat