Confidence sets for discrete stochastic optimization

Confidence sets for discrete stochastic optimization

0.00 Avg rating0 Votes
Article ID: iaor19952292
Country: Switzerland
Volume: 56
Issue: 1
Start Page Number: 95
End Page Number: 108
Publication Date: Jun 1995
Journal: Annals of Operations Research
Authors: ,
Abstract:

Consider the problem of finding the points of maximum of an expectation functional over a finite set S. Based on statistical estimates at each point of S, confidence sets for the argmax-set are constructed which guarantee a prespecified probability of correct selection. The authors review known selection methods and propose a new two-stage procedure that works well for large S and few global maxima. The performance is compared in a simulation study.

Reviews

Required fields are marked *. Your email address will not be published.