The empirical behavior of sampling methods for stochastic programming
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References listed on IDEAS
- 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.
- Athanassios N. Avramidis & James R. Wilson, 1996. "Integrated Variance Reduction Strategies for Simulation," Operations Research, INFORMS, vol. 44(2), pages 327-346, April.
- Julia L. Higle & Suvrajeet Sen, 1991. "Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse," Mathematics of Operations Research, INFORMS, vol. 16(3), pages 650-669, August.
- Julia L. Higle, 1998. "Variance Reduction and Objective Function Evaluation in Stochastic Linear Programs," INFORMS Journal on Computing, INFORMS, vol. 10(2), pages 236-247, May.
- John M. Mulvey & Andrzej Ruszczyński, 1995. "A New Scenario Decomposition Method for Large-Scale Stochastic Optimization," Operations Research, INFORMS, vol. 43(3), pages 477-490, June.
More about this item
KeywordsStochastic linear programming; Recourse; Sample average approximations; Computational grid; Monte Carlo sampling; Optimality gap; Statistical KKT test;
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