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The empirical behavior of sampling methods for stochastic programming

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  • Jeff Linderoth
  • Alexander Shapiro
  • Stephen Wright

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. Copyright Springer Science + Business Media, Inc. 2006

Suggested Citation

  • Jeff Linderoth & Alexander Shapiro & Stephen Wright, 2006. "The empirical behavior of sampling methods for stochastic programming," Annals of Operations Research, Springer, vol. 142(1), pages 215-241, February.
    • Handle: RePEc:spr:annopr:v:142:y:2006:i:1:p:215-241:10.1007/s10479-006-6169-8
    DOI: 10.1007/s10479-006-6169-8
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    References listed on IDEAS

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    1. T. Glenn Bailey & Paul A. Jensen & David P. Morton, 1999. "Response surface analysis of two‐stage stochastic linear programming with recourse," Naval Research Logistics (NRL), John Wiley & Sons, vol. 46(7), pages 753-776, October.
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