Simulation-Based Optimality Tests for Stochastic Programs

DOI10.1007/978-1-4419-1642-6_3MaRDI QIDQ3001269zbMATH OpenOpenAlexWikidataFDO

Authors Güzin Bayraksan, David Morton, Amit Partani

Publication date 31 May 2011

Published in International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4419-1642-6_3

zbMATH Keywords

approximationoptimality gap

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimality conditions and duality in mathematical programming (90C46)

Recommendations

• Testing the structure of multistage stochastic programs
• Solving Stochastic Dynamic Programs by Convex Optimization and Simulation
• Solving Stochastic Mathematical Programs with Complementarity Constraints Using Simulation
• scientific article; zbMATH DE number 1005357
• A simulation-based approach to stochastic dynamic programming
• Stochastic approximation algorithms for constrained optimization via simulation
• Simulation-based confidence bounds for two-stage stochastic programs
• Solving a class of simulation-based optimization problems using ``optimality in probability
• Optimal allocation of simulation experiments in discrete stochastic optimization and approximative algorithms

Cites work

• A branch and bound method for stochastic global optimization
• A sequential sampling procedure for stochastic programming
• A simulation-based approach to two-stage stochastic programming with recourse
• A stochastic programming approach for supply chain network design under uncertainty
• Analysis of Sample-Path Optimization
• Applications of Stochastic Programming
• Assessing solution quality in stochastic programs
• Asymptotic behavior of statistical estimators and of optimal solutions of stochastic optimization problems
• Asymptotic properties of statistical estimators in stochastic programming
• Asymptotic Theory for Solutions in Statistical Estimation and Stochastic Programming
• Conditioning of convex piecewise linear stochastic programs
• Duality and statistical tests of optimality for two stage stochastic programs
• Epi-convergent discretizations of stochastic programs via integration quadratures
• Epi‐consistency of convex stochastic programs
• scientific article; zbMATH DE number 439951 (Why is no real title available?)
• scientific article; zbMATH DE number 3115465 (Why is no real title available?)
• scientific article; zbMATH DE number 4213739 (Why is no real title available?)
• scientific article; zbMATH DE number 5007561 (Why is no real title available?)
• scientific article; zbMATH DE number 4037608 (Why is no real title available?)
• scientific article; zbMATH DE number 46578 (Why is no real title available?)
• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• scientific article; zbMATH DE number 3471414 (Why is no real title available?)
• scientific article; zbMATH DE number 1114460 (Why is no real title available?)
• scientific article; zbMATH DE number 824994 (Why is no real title available?)
• scientific article; zbMATH DE number 914714 (Why is no real title available?)
• scientific article; zbMATH DE number 1389742 (Why is no real title available?)
• scientific article; zbMATH DE number 3053501 (Why is no real title available?)
• Lectures on Stochastic Programming
• Linear programming under uncertainty
• Monte Carlo (importance) sampling within a Benders decomposition algorithm for stochastic linear programs
• Monte Carlo bounding techniques for determinig solution quality in stochastic programs
• Monte Carlo sampling approach to stochastic programming
• Parallel processors for planning under uncertainty
• Problems in Plane Sampling
• Random LSC Functions: An Ergodic Theorem
• Sensitivity of bond portfolio's behavior with respect to random movements in yield curve: a simulation study
• Stability in Two-Stage Stochastic Programming
• Statistical approximations for stochastic linear programming problems
• Statistical verification of optimality conditions for stochastic programs with recourse
• Stochastic decomposition. A statistical method for large scale stochastic linear programming
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• The empirical behavior of sampling methods for stochastic programming
• The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs
• The sample average approximation method applied to stochastic routing problems: a computational study
• The sample average approximation method for stochastic discrete optimization
• Validation analysis of mirror descent stochastic approximation method
• Variance Reduction and Objective Function Evaluation in Stochastic Linear Programs
• Variance reduction via lattice rules

Cited in

(11)

• Statistical testing of optimality conditions in multiresponse simulation-based optimization
• Solving a class of simulation-based optimization problems using ``optimality in probability
• Simulation-based confidence bounds for two-stage stochastic programs
• Testing the structure of multistage stochastic programs
• Assessing solution quality in stochastic programs
• A family of stochastic programming test problems based on a model for tactical manpower planning
• The stochastic test collection problem: models, exact and heuristic solution approaches
• scientific article; zbMATH DE number 5494133 (Why is no real title available?)
• Solving Stochastic Mathematical Programs with Complementarity Constraints Using Simulation
• Optimality functions in stochastic programming
• Backward resampling in stochastic dual dynamic programming: application to power generation planning

Describes a project that uses

Uses Software

• SUTIL

This page was built for publication: Simulation-Based Optimality Tests for Stochastic Programs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3001269)