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Complexity and heuristics in stochastic optimization

Presenter
October 19, 2010
Keywords:
  • Heuristics
MSC:
  • 90C59
Abstract
Combining recent results on numerical integration and optimization, we derive a polynomial bound on the worst case complexity of a class of static stochastic optimization problems. We then describe a technique for reducing dynamic problems to static ones. The reduction technique is only a heuristic but it can effectively employ good guesses for good solutions. This is illustrated on an 82-period problem coming from pension insurance industry.