A probability metrics approach for reducing the bias of optimality gap estimators in two-stage stochastic linear programming
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Publication:2434991
DOI10.1007/S10107-012-0563-6zbMath1282.90114DBLPjournals/mp/StockbridgeB13OpenAlexW2073614412WikidataQ57500082 ScholiaQ57500082MaRDI QIDQ2434991
Güzin Bayraksan, Rebecca Stockbridge
Publication date: 3 February 2014
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-012-0563-6
stochastic programmingconfidence intervalsstability analysisMonte Carlo simulationprobability metricsbias reduction techniques
Related Items (7)
Variance reduction in Monte Carlo sampling-based optimality gap estimators for two-stage stochastic linear programming ⋮ An improved averaged two-replication procedure with Latin hypercube sampling ⋮ Scenario Generation for Single-Period Portfolio Selection Problems with Tail Risk Measures: Coping with High Dimensions and Integer Variables ⋮ Efficient solution selection for two-stage stochastic programs ⋮ Variance reduction for sequential sampling in stochastic programming ⋮ Overlapping Batches for the Assessment of Solution Quality in Stochastic Programs ⋮ Scenario reduction revisited: fundamental limits and guarantees
Uses Software
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