Stratified filtered sampling in stochastic optimization (Q1568373): Difference between revisions

Summary: The authors develop a methodology for evaluating a decision strategy generated by a stochastic optimization model. The methodology is based on a pilot study in which they estimate the distribution of performance associated with the strategy, and define an appropriate stratified sampling plan. An algorithm called filtered search allows them to implement this plan efficiently. They demonstrate the approach's advantages with a problem in asset/liability management for an insurance company.