Schloss Dagstuhl - Leibniz-Zentrum für Informatik GmbH Schloss Dagstuhl - Leibniz-Zentrum für Informatik GmbH scholarly article en Morton, David P.; Bayraksan, Guzin License
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URN: urn:nbn:de:0030-drops-638
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Assessing Solution Quality in Stochastic Programs

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Abstract

Assessing whether a solution is of high quality
(optimal or near optimal) is a fundamental
question in optimization. We develop Monte Carlo
sampling-based procedures for assessing solution
quality in stochastic programs. Quality is defined
via the optimality gap and our procedures' output
is a confidence interval on this gap. We review a
multiple-replications procedure and then present a
result that justifies a computationally simplified
single-replication procedure. Even though the
single replication procedure is computationally
significantly less demanding, the resulting
confidence interval may have low coverage for
small sample sizes on some problems. We provide
variants of this procedure and provide preliminary
guidelines for selecting a candidate solution.
Both are designed to improve the basic procedure's
performance.

BibTeX - Entry

@InProceedings{morton_et_al:DagSemProc.05031.6,
  author =	{Morton, David P. and Bayraksan, Guzin},
  title =	{{Assessing Solution Quality in Stochastic Programs}},
  booktitle =	{Algorithms for Optimization with Incomplete Information},
  pages =	{1--3},
  series =	{Dagstuhl Seminar Proceedings (DagSemProc)},
  ISSN =	{1862-4405},
  year =	{2005},
  volume =	{5031},
  editor =	{Susanne Albers and Rolf H. M\"{o}hring and Georg Ch. Pflug and R\"{u}diger Schultz},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/opus/volltexte/2005/63},
  URN =		{urn:nbn:de:0030-drops-638},
  doi =		{10.4230/DagSemProc.05031.6},
  annote =	{Keywords: stochastic programming , Monte Carlo simulation}
}

Keywords: stochastic programming , Monte Carlo simulation
Seminar: 05031 - Algorithms for Optimization with Incomplete Information
Issue date: 2005
Date of publication: 30.05.2005


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