Stratified filtered sampling in stochastic optimization

DOI10.1155/S117391260000002XMaRDI QIDQ1568373zbMATH OpenFDO

Authors Robert Rush, John M. Mulvey, John E. Mitchell, Thomas R. Willemain

Publication date 21 June 2000

Published in Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/121685

zbMATH Keywords

performance evaluationstochastic optimizationstratified samplingvariance reduction

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Stochastic programming (90C15)

Review text

Summary: The authors develop a methodology for evaluating a decision strategy generated by a stochastic optimization model. The methodology is based on a pilot study in which they estimate the distribution of performance associated with the strategy, and define an appropriate stratified sampling plan. An algorithm called filtered search allows them to implement this plan efficiently. They demonstrate the approach's advantages with a problem in asset/liability management for an insurance company.

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Cited in

(5)

• Functional quantization-based stratified sampling methods
• Estimation of optimality gap using stratified sampling
• Event tree based sampling
• A multistage linear stochastic programming model for optimal corporate debt management
• Minimax number of strata for online stratified sampling: the case of noisy samples

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