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The Empirical Behavior of Sampling Methods for Stochastic Programming

J. T. Linderoth (jtl3***at***lehigh.edu)
A. Shapiro (ashapiro***at***isye.gatech.edu)
S. J. Wright (swright***at***cs.wisc.edu)

Abstract: We investigate the quality of solutions obtained from sample-average approximations to two-stage stochastic linear programs with recourse. We use a recently developed software tool executing on a computational grid to solve many large instances of these problems, allowing us to obtain high-quality solutions and to verify optimality and near-optimality of the computed solutions in various ways.

Keywords: stochastic programming, sample-average approximations, computational grids

Category 1: Stochastic Programming

Citation: Optimization Technical Report 02-01, Computer Sciences Department, University of Wisconsin-Madison, January, 2002. Revised September, 2002.

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Entry Submitted: 01/07/2002
Entry Accepted: 01/08/2002
Entry Last Modified: 09/30/2002

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