Statistical verification of optimality conditions for stochastic programs with recourse

Statistical verification of optimality conditions for stochastic programs with recourse

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Article ID: iaor19912124
Country: Switzerland
Volume: 30
Start Page Number: 215
End Page Number: 240
Publication Date: Mar 1991
Journal: Annals of Operations Research
Authors: ,
Abstract:

Statistically motivated algorithms for the solution of stochastic programming problems typically suffer from their inability to recognize optimality of a given solution algorithmically. Thus, the quality of solutions provided by such methods is difficult to ascertain. In this paper, the authors develop methods for verification of optimality conditions within the framework of Stochastic Decomposition (SD) algorithms for two stage linear programs with recourse. Consistent with the stochastic nature of an SD algorithm, they provide termination criteria that are based on statistical verification of traditional (deterministic) optimality conditions. The authors propose the use of ‘bootstrap methods’ to confirm the satisfaction of generalized Kuhn-Tucker conditions and conditions based on Lagrange duality. These methods are illustrated in the context of a power generation planning model, and the results are encouraging.

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