Scaling Up the Sample Average Approximation Method for Stochastic Optimization with Applications to Trading Agents

Amy Greenwald, Bryan Guillemette, Victor Naroditskiy, Michael Carl Tschantz. Scaling Up the Sample Average Approximation Method for Stochastic Optimization with Applications to Trading Agents. In Han La Poutré, Norman M. Sadeh, Sverker Janson, editors, Agent-Mediated Electronic Commerce. Designing Trading Agents and Mechanisms - AAMAS 2005 Workshop, AMEC 2005, Utrecht, Netherlands, July 25, 2005, and IJCAI 2005 Workshop, TADA 2005, Edinburgh, UK, August 1, 2005, Selected and Revised Papers. Volume 3937 of Lecture Notes in Computer Science, pages 187-199, Springer, 2005. [doi]

Abstract

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