| Article ID: | iaor20061858 |
| Country: | Netherlands |
| Volume: | 34 |
| Issue: | 1 |
| Start Page Number: | 1 |
| End Page Number: | 8 |
| Publication Date: | Jan 2006 |
| Journal: | Operations Research Letters |
| Authors: | Shapiro Alexander |
| Keywords: | combinatorial analysis, programming: probabilistic |
In this paper we derive estimates of the sample sizes required to solve a multistage stochastic programming problem with a given accuracy by the (conditional sampling) sample average approximation method. The presented analysis is self-contained and is based on a relatively elementary, one-dimensional Cramér's Large Deviations Theorem.