A probability metrics approach for reducing the bias of optimality gap estimators in two-stage stochastic linear programming

DOI10.1007/s10107-012-0563-6zbMath1282.90114OpenAlexW2073614412WikidataQ57500082 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

zbMATH Keywords

stochastic programmingconfidence intervalsstability analysisMonte Carlo simulationprobability metricsbias reduction techniques

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items

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

• Blossom V
• SUTIL
• bootstrap

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The impact of sampling methods on bias and variance in stochastic linear programs
• Validation analysis of mirror descent stochastic approximation method
• Blossom V: A new implementation of a minimum cost perfect matching algorithm
• Scenario reduction in stochastic programming with respect to discrepancy distances
• Statistical verification of optimality conditions for stochastic programs with recourse
• Monte Carlo (importance) sampling within a Benders decomposition algorithm for stochastic linear programs
• Accelerating the regularized decomposition method for two stage stochastic linear problems
• Statistical approximations for stochastic linear programming problems
• A simulation-based approach to two-stage stochastic programming with recourse
• A branch and bound method for stochastic global optimization
• Monte Carlo bounding techniques for determinig solution quality in stochastic programs
• Scenario reduction in stochastic programming
• Scenario reduction algorithms in stochastic programming
• The sample average approximation method applied to stochastic routing problems: a computational study
• The jackknife and bootstrap
• A stochastic programming approach for supply chain network design under uncertainty
• Variance reduction in sample approximations of stochastic programs
• Assessing solution quality in stochastic programs
• The empirical behavior of sampling methods for stochastic programming
• Stochastic decomposition. A statistical method for large scale stochastic linear programming
• The Allocation of Aircraft to Routes—An Example of Linear Programming Under Uncertain Demand
• A Probabilistic Lower Bound for Two-Stage Stochastic Programs
• A Sequential Sampling Procedure for Stochastic Programming
• On Rates of Convergence for Stochastic Optimization Problems Under Non–Independent and Identically Distributed Sampling
• A regularized decomposition method for minimizing a sum of polyhedral functions
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• Variational Analysis
• Variance Reduction and Objective Function Evaluation in Stochastic Linear Programs
• Implementation of O ( nm log n ) weighted matchings in general graphs
• Sensitivity of bond portfolio's behavior with respect to random movements in yield curve: a simulation study