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Confidence Interval Software for Multi-stage Stochastic Programs

Xiaotie Chen(xtjchen***at***ucdavis.edu)
Sylvain Cazaux(sylvain.cazaux***at***polytechnique.edu)
Brian Knight(bcknight***at***ucdavis.edu)
David Woodruff(dlwoodruff***at***ucdavis.edu)

Abstract: When the uncertainty is explicitly modeled in an optimization problem, it is often necessary to use samples to compute a solution, which gives rise to a need to compute confidence intervals around the objective function value that is obtained. In this paper we describe software that implements well-known methods for two stage problems and we provide extensions to multiple stages. The software is available as part of the mpi-sppy package Knueven et al. (2021), which is available for download from https://github.com/Pyomo/mpi-sppy.

Keywords: optimization under uncertainty; multi-stage stochastic programming; confidence intervals

Category 1: Stochastic Programming


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Entry Submitted: 09/28/2021
Entry Accepted: 09/28/2021
Entry Last Modified: 09/28/2021

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