Adaptive and nonadaptive approaches to statistically based methods for solving stochastic linear programs: a computational investigation

DOI10.1007/S10589-010-9366-YMaRDI QIDQ429477zbMATH OpenOpenAlexFDO

Authors Julia L. Higle, Lei Zhao

Publication date 19 June 2012

Published in Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10589-010-9366-y

zbMATH Keywords

computational experimentationsample based optimizationstochastic programming

Mathematics Subject Classification ID

Computational methods for problems pertaining to operations research and mathematical programming (90-08) Stochastic programming (90C15)

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Cites work

• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
• A multicut algorithm for two-stage stochastic linear programs
• A regularized decomposition method for minimizing a sum of polyhedral functions
• Asymptotic analysis of stochastic programs
• Bootstrap methods: another look at the jackknife
• Conditioning of convex piecewise linear stochastic programs
• Epi‐consistency of convex stochastic programs
• Finite master programs in regularized stochastic decomposition
• scientific article; zbMATH DE number 679873 (Why is no real title available?)
• Introduction to Stochastic Programming
• Monte Carlo bounding techniques for determinig solution quality in stochastic programs
• Partitioning procedures for solving mixed-variables programming problems
• Sample-path optimization of convex stochastic performance functions
• Statistical approximations for stochastic linear programming problems
• Statistical verification of optimality conditions for stochastic programs with recourse
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• Stochastic decomposition. A statistical method for large scale stochastic linear programming
• The empirical behavior of sampling methods for stochastic programming
• The sample average approximation method for stochastic discrete optimization
• The value of the stochastic solution in stochastic linear programs with fixed recourse

Cited in

(3)

• Adaptive racing ranking-based immune optimization approach solving multi-objective expected value programming
• An adaptive sampling immune algorithm solving joint chance-constrained programming
• Augmented Lagrangian method within L-shaped method for stochastic linear programs

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• SUTIL

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