The Empirical Behavior of Sampling Methods for Stochastic Programming (2002)
by
Jeff Linderoth
,
Alexander Shapiro
,
Stephen Wright
| Venue: | Annals of Operations Research |
| Citations: | 54 - 12 self |
BibTeX
@ARTICLE{Linderoth02theempirical,
author = {Jeff Linderoth and Alexander Shapiro and Stephen Wright},
title = {The Empirical Behavior of Sampling Methods for Stochastic Programming},
journal = {Annals of Operations Research},
year = {2002},
volume = {142},
pages = {2006}
}
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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.
