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

DOI10.1007/s10589-010-9366-yzbMath1241.90005OpenAlexW2048160456MaRDI QIDQ429477

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

stochastic programmingcomputational experimentationsample based optimization

Mathematics Subject Classification ID

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

Related Items

Adaptive racing ranking-based immune optimization approach solving multi-objective expected value programming, Adaptive sampling immune algorithm solving joint chance-constrained programming

Uses Software

• SUTIL

Cites Work

• Unnamed Item
• A multicut algorithm for two-stage stochastic linear programs
• Partitioning procedures for solving mixed-variables programming problems
• Asymptotic analysis of stochastic programs
• Statistical verification of optimality conditions for stochastic programs with recourse
• Bootstrap methods: another look at the jackknife
• Statistical approximations for stochastic linear programming problems
• Monte Carlo bounding techniques for determinig solution quality in stochastic programs
• Finite master programs in regularized stochastic decomposition
• Sample-path optimization of convex stochastic performance functions
• Conditioning of convex piecewise linear stochastic programs
• The empirical behavior of sampling methods for stochastic programming
• Stochastic decomposition. A statistical method for large scale stochastic linear programming
• The Sample Average Approximation Method for Stochastic Discrete Optimization
• Epi‐consistency of convex stochastic programs
• A regularized decomposition method for minimizing a sum of polyhedral functions
• The value of the stochastic solution in stochastic linear programs with fixed recourse
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• Introduction to Stochastic Programming
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming