The empirical behavior of sampling methods for stochastic programming

The empirical behavior of sampling methods for stochastic programming

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Article ID: iaor20063657
Country: Netherlands
Volume: 142
Issue: 1
Start Page Number: 215
End Page Number: 241
Publication Date: Feb 2006
Journal: Annals of Operations Research
Authors: , ,
Abstract:

We investigate the quality of solutions obtained from sample-average approximations to two-stage stochastic linear programs with recourse. We use a recently developed software tool executing on a computational grid to solve many large instances of these problems, allowing us to obtain high-quality solutions and to verify optimality and near-optimality of the computed solutions in various ways.

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