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: | Shapiro Alexander, Wright Stephen J., Linderoth Jeff |
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.