The Empirical Behavior of Sampling Methods for Stochastic Programming
J. T. Linderoth (jtl3lehigh.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.
Entry Submitted: 01/07/2002
Modify/Update this entry
|Visitors||Authors||More about us||Links|
Search, Browse the Repository
Give us feedback
|Optimization Journals, Sites, Societies|