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09181 Working Group on Hybridization between R&S, DoE and Optimization

Authors: Chun-Hung Chen, Liu Hong, Paul B. Kantor, David P. Morton, Juta Pichitlamken, and Matthias Seeger

Published in: Dagstuhl Seminar Proceedings, Volume 9181, Sampling-based Optimization in the Presence of Uncertainty (2009)

Abstract

This is the report of the working group on the relation between, or hybrid combination of design experiment optimization and R&S. The rapporteur, Paul Kantor, learned a great deal at the conference which he summarized by sharing the cartoon shown here. ("A student asking the teacher'... may i be excused, my is full" (from a 1986 cartoon by Gary Larson) - omitted here for copyright reasons).

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Chun-Hung Chen, Liu Hong, Paul B. Kantor, David P. Morton, Juta Pichitlamken, and Matthias Seeger. 09181 Working Group on Hybridization between R&S, DoE and Optimization. In Sampling-based Optimization in the Presence of Uncertainty. Dagstuhl Seminar Proceedings, Volume 9181, pp. 1-14, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2009)

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@InProceedings{chen_et_al:DagSemProc.09181.3,
  author =	{Chen, Chun-Hung and Hong, Liu and Kantor, Paul B. and Morton, David P. and Pichitlamken, Juta and Seeger, Matthias},
  title =	{{09181 Working Group on Hybridization between R\&S, DoE and Optimization}},
  booktitle =	{Sampling-based Optimization in the Presence of Uncertainty},
  pages =	{1--14},
  series =	{Dagstuhl Seminar Proceedings (DagSemProc)},
  ISSN =	{1862-4405},
  year =	{2009},
  volume =	{9181},
  editor =	{J\"{u}rgen Branke and Barry L. Nelson and Warren Buckler Powell and Thomas J. Santner},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/DagSemProc.09181.3},
  URN =		{urn:nbn:de:0030-drops-21172},
  doi =		{10.4230/DagSemProc.09181.3},
  annote =	{Keywords: }
}

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DOI: 10.4230/DagSemProc.05031.6

Assessing Solution Quality in Stochastic Programs

Authors: David P. Morton and Guzin Bayraksan

Published in: Dagstuhl Seminar Proceedings, Volume 5031, Algorithms for Optimization with Incomplete Information (2005)

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.

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David P. Morton and Guzin Bayraksan. Assessing Solution Quality in Stochastic Programs. In Algorithms for Optimization with Incomplete Information. Dagstuhl Seminar Proceedings, Volume 5031, pp. 1-3, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2005)

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@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/entities/document/10.4230/DagSemProc.05031.6},
  URN =		{urn:nbn:de:0030-drops-638},
  doi =		{10.4230/DagSemProc.05031.6},
  annote =	{Keywords: stochastic programming , Monte Carlo simulation}
}

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Documents authored by Morton, David P.

09181 Working Group on Hybridization between R&S, DoE and Optimization

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Assessing Solution Quality in Stochastic Programs

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