The impact of sampling methods on bias and variance in stochastic linear programs
From MaRDI portal
Publication:434168
DOI10.1007/s10589-010-9322-xzbMath1245.90075OpenAlexW2051574074MaRDI QIDQ434168
Jeffrey T. Linderoth, Douglas J. Thomas, Michael B. Freimer
Publication date: 10 July 2012
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10589-010-9322-x
Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59)
Related Items
Predictive stochastic programming, Variance reduction in Monte Carlo sampling-based optimality gap estimators for two-stage stochastic linear programming, An empirical analysis of scenario generation methods for stochastic optimization, An improved averaged two-replication procedure with Latin hypercube sampling, A probability metrics approach for reducing the bias of optimality gap estimators in two-stage stochastic linear programming, Heuristic Solutions to the Facility Location Problem with General Bernoulli Demands, Variance reduction for sequential sampling in stochastic programming, Sample average approximation under non-i.i.d. sampling for stochastic empty container repositioning problem
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Asymptotic behavior of statistical estimators and of optimal solutions of stochastic optimization problems
- Monte Carlo (importance) sampling within a Benders decomposition algorithm for stochastic linear programs
- A branch and bound method for stochastic global optimization
- Monte Carlo bounding techniques for determinig solution quality in stochastic programs
- Conditioning of convex piecewise linear stochastic programs
- Decomposition algorithms for stochastic programming on a computational grid
- The empirical behavior of sampling methods for stochastic programming
- Linear Programming under Uncertainty
- Correlation-Induction Techniques for Estimating Quantiles in Simulation Experiments
- A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code
- Reformulation and sampling to solve a stochastic network interdiction problem
- On Rates of Convergence for Stochastic Optimization Problems Under Non–Independent and Identically Distributed Sampling
- An Efficient Sampling Technique for Off-Line Quality Control
- Variance Reduction and Objective Function Evaluation in Stochastic Linear Programs
- A New Scenario Decomposition Method for Large-Scale Stochastic Optimization
- L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming