Price of Correlations in Stochastic Optimization
نویسندگان
چکیده
منابع مشابه
Price of Correlations in Stochastic Optimization
When decisions are made in presence of high dimensional stochastic data, handling joint distribution of correlated random variables can present a formidable task, both in terms of sampling and estimation as well as algorithmic complexity. A common heuristic is to estimate only marginal distributions and substitute joint distribution by independent (product) distribution. In this paper, we study...
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ژورنال
عنوان ژورنال: Operations Research
سال: 2012
ISSN: 0030-364X,1526-5463
DOI: 10.1287/opre.1110.1011