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

DOI10.1007/S10589-010-9366-YMaRDI QIDQ429477zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 679873 (Why is no real title available?)
• 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
• 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)

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

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• SUTIL

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