Monte Carlo bounding techniques for determinig solution quality in stochastic programs

From MaRDI portal

Publication:1306368

Jump to:navigation, search

DOI10.1016/S0167-6377(98)00054-6zbMath0956.90022MaRDI QIDQ1306368

David P. Morton, R. Kevin Wood, Wai-Kei Mak

Publication date: 18 March 2001

Published in: Operations Research Letters (Search for Journal in Brave)

zbMATH Keywords

sampling confidence intervals variance reduction stochastic program Monte Carlo approximations

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items

Scenario Min-Max Optimization and the Risk of Empirical Costs ⋮ A sample average approximation approach to the berth allocation problem with uncertain tides ⋮ Optimization of Industrial-Scale Assemble-to-Order Systems ⋮ Genetic Algorithms for Scenario Generation in Stochastic Programming ⋮ Reformulation and sampling to solve a stochastic network interdiction problem ⋮ Sequential Bounding Methods for Two-Stage Stochastic Programs ⋮ The value and cost of more stages in stochastic programing: a statistical analysis on a set of portfolio choice problems ⋮ Chance-Constrained Programming Models and Approximations for General Stochastic Bottleneck Spanning Tree Problems ⋮ Stochastic Learning Approach for Binary Optimization: Application to Bayesian Optimal Design of Experiments ⋮ ASTRO-DF: A Class of Adaptive Sampling Trust-Region Algorithms for Derivative-Free Stochastic Optimization ⋮ Unnamed Item ⋮ Optimization with Reference-Based Robust Preference Constraints ⋮ A Scalable Bounding Method for Multistage Stochastic Programs ⋮ Optimal subsidy design for shore power usage in ship berthing operations ⋮ Using stochastic programming to solve an outpatient appointment scheduling problem with random service and arrival times ⋮ On the safe side of stochastic programming: bounds and approximations ⋮ Evaluating appointment postponement in scheduling patients at a diagnostic clinic ⋮ Affinely adjustable robust optimization for a multi‐period inventory problem with capital constraints and demand uncertainties ⋮ Exploiting the polyhedral geometry of stochastic linear bilevel programming ⋮ Efficient Stochastic Programming in Julia ⋮ Capacity reservation for humanitarian relief: a logic-based benders decomposition method with subgradient cut ⋮ Joint tank container demurrage policy and flow optimisation using a progressive hedging algorithm with expanded time-space network ⋮ The Benders by batch algorithm: design and stabilization of an enhanced algorithm to solve multicut Benders reformulation of two-stage stochastic programs ⋮ Sample average approximation for risk-averse problems: a virtual power plant scheduling application ⋮ A hybrid genetic algorithm for scheduling jobs sharing multiple resources under uncertainty ⋮ Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation ⋮ Solving multistage stochastic linear programming via regularized linear decision rules: an application to hydrothermal dispatch planning ⋮ Improved feature selection with simulation optimization ⋮ Risk‐averse two‐stage stochastic programming for the inventory rebalancing of bike‐sharing systems ⋮ On Feasibility of Sample Average Approximation Solutions ⋮ Chance-Constrained Surgery Planning Under Conditions of Limited and Ambiguous Data ⋮ Sampling Scenario Set Partition Dual Bounds for Multistage Stochastic Programs ⋮ Simulation-Based Optimality Tests for Stochastic Programs ⋮ Combining Progressive Hedging with a Frank--Wolfe Method to Compute Lagrangian Dual Bounds in Stochastic Mixed-Integer Programming ⋮ A Central Limit Theorem and Hypotheses Testing for Risk-averse Stochastic Programs ⋮ An Empirical Interpolation and Model-Variance Reduction Method for Computing Statistical Outputs of Parametrized Stochastic Partial Differential Equations ⋮ From data to model and back to data: A bond portfolio management problem ⋮ Unnamed Item ⋮ Augmented Markov Chain Monte Carlo Simulation for Two-Stage Stochastic Programs with Recourse ⋮ Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach ⋮ Minimax analysis of stochastic problems ⋮ Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity ⋮ On the Scenario-Tree Optimal-Value Error for Stochastic Programming Problems ⋮ Stochastic Decomposition for Two-Stage Stochastic Linear Programs with Random Cost Coefficients ⋮ Building a stochastic programming model from scratch: a harvesting management example ⋮ Asymptotic Results of Stochastic Decomposition for Two-Stage Stochastic Quadratic Programming ⋮ Adaptive Sequential Sample Average Approximation for Solving Two-Stage Stochastic Linear Programs ⋮ Comparative analysis of operation strategies in schedule design for a fixed bus route ⋮ Bias, exploitation and proxies in scenario-based risk minimization ⋮ Stochastically Constrained Ranking and Selection via SCORE ⋮ Overlapping Batches for the Assessment of Solution Quality in Stochastic Programs ⋮ Bias Reduction in Sample-Based Optimization ⋮ Unnamed Item ⋮ Developing childhood vaccine administration and inventory replenishment policies that minimize open vial wastage ⋮ Predictive stochastic programming ⋮ Sample average approximation for stochastic nonconvex mixed integer nonlinear programming via outer-approximation ⋮ Variance reduction in Monte Carlo sampling-based optimality gap estimators for two-stage stochastic linear programming ⋮ CVaR minimization by the SRA algorithm ⋮ Multi-criteria logistics modeling for military humanitarian assistance and disaster relief aerial delivery operations ⋮ On sample size control in sample average approximations for solving smooth stochastic programs ⋮ Tactical berth allocation under uncertainty ⋮ SAMPLE AVERAGE APPROXIMATION METHOD FOR SOLVING A DETERMINISTIC FORMULATION FOR BOX CONSTRAINED STOCHASTIC VARIATIONAL INEQUALITY PROBLEMS ⋮ Forward thresholds for operation of pumped-storage stations in the real-time energy market ⋮ Optimal crashing of an activity network with disruptions ⋮ Cut-sharing across trees and efficient sequential sampling for SDDP with uncertainty in the RHS ⋮ Implementable algorithm for stochastic optimization using sample average approximations ⋮ SAA method based on modified Newton method for stochastic variational inequality with second-order cone constraints and application in portfolio optimization ⋮ A two-stage approach to the orienteering problem with stochastic weights ⋮ A sample average approximation method for disassembly line balancing problem under uncertainty ⋮ A two-step gradient estimation approach for setting supply chain operating parameters ⋮ A long-term capacity expansion planning model for an electric power system integrating large-size renewable energy technologies ⋮ Stochastic programming analysis and solutions to schedule overcrowded operating rooms in China ⋮ Supplier selection and order allocation in CLSC configuration with various supply strategies under disruption risk ⋮ Approximation of probabilistic constraints in stochastic programming problems with a probability measure kernel ⋮ Enhancing Benders decomposition algorithm to solve a combat logistics problem ⋮ Multi-modal cargo logistics distribution problem: decomposition of the stochastic risk-averse models ⋮ Stochastic optimization approaches for elective surgery scheduling with downstream capacity constraints: models, challenges, and opportunities ⋮ Product-line planning under uncertainty ⋮ Short-term liner ship fleet planning with container transshipment and uncertain container shipment demand ⋮ A stochastic programming model for scheduling call centers with global service level agreements ⋮ Integrated network capacity expansion and traffic signal optimization problem: Robust bi-level dynamic formulation ⋮ Dynamic fleet scheduling with uncertain demand and customer flexibility ⋮ An improved averaged two-replication procedure with Latin hypercube sampling ⋮ Convex approximations in stochastic programming by semidefinite programming ⋮ Analysis of stochastic dual dynamic programming method ⋮ Non-indexability of the stochastic appointment scheduling problem ⋮ Augmented simulation methods for discrete stochastic optimization with recourse ⋮ Mitigating Uncertainty via Compromise Decisions in Two-Stage Stochastic Linear Programming: Variance Reduction ⋮ Influence maximization with deactivation in social networks ⋮ Assessing policy quality in a multistage stochastic program for long-term hydrothermal scheduling ⋮ Stochastic uncapacitated hub location ⋮ Computational study of decomposition algorithms for mean-risk stochastic linear programs ⋮ Adaptive and nonadaptive approaches to statistically based methods for solving stochastic linear programs: a computational investigation ⋮ An optimal method for stochastic composite optimization ⋮ Sample average approximation of stochastic dominance constrained programs ⋮ The impact of sampling methods on bias and variance in stochastic linear programs ⋮ Simulation-based confidence bounds for two-stage stochastic programs ⋮ A probability metrics approach for reducing the bias of optimality gap estimators in two-stage stochastic linear programming ⋮ Approximations of semicontinuous functions with applications to stochastic optimization and statistical estimation ⋮ Confidence level solutions for stochastic programming ⋮ Mixed-integer programming models for optimal constellation scheduling given cloud cover uncertainty ⋮ Testing successive regression approximations by large-scale two-stage problems ⋮ The empirical likelihood approach to quantifying uncertainty in sample average approximation ⋮ Managing congestion in a multi-modal transportation network under biomass supply uncertainty ⋮ Shape constraints in economics and operations research ⋮ A loose Benders decomposition algorithm for approximating two-stage mixed-integer recourse models ⋮ Efficient solution selection for two-stage stochastic programs ⋮ Optimal insurance contract specification in the upstream sector of the oil and gas industry ⋮ Variance reduction for sequential sampling in stochastic programming ⋮ Solving two-stage stochastic programming problems with level decomposition ⋮ A capacitated lot sizing problem with stochastic setup times and overtime ⋮ Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures ⋮ A stochastic programming approach for supply chain network design under uncertainty ⋮ An anytime multistep anticipatory algorithm for online stochastic combinatorial optimization ⋮ A two-stage stochastic programming model for the parallel machine scheduling problem with machine capacity ⋮ The value of the right distribution in stochastic programming with application to a Newsvendor problem ⋮ Adaptive multicut aggregation for two-stage stochastic linear programs with recourse ⋮ Sales and operations planning in systems with order configuration uncertainty ⋮ Scheduling elective surgery under uncertainty and downstream capacity constraints ⋮ Sample average approximation under non-i.i.d. sampling for stochastic empty container repositioning problem ⋮ Event tree based sampling ⋮ Validation analysis of mirror descent stochastic approximation method ⋮ Optimality functions in stochastic programming ⋮ Component rationing for available-to-promise scheduling in configure-to-order systems ⋮ Solving a class of stochastic mixed-integer programs with branch and price ⋮ Assessing solution quality in stochastic programs ⋮ Solving multistage asset investment problems by the sample average approximation method ⋮ An integrated flight scheduling and fleet assignment problem under uncertainty ⋮ Near optimal solutions to least-squares problems with stochastic uncertainty ⋮ Robust sample average approximation ⋮ Optimization of stochastic virus detection in contact networks ⋮ The empirical behavior of sampling methods for stochastic programming ⋮ Quality evaluation of scenario-tree generation methods for solving stochastic programming problems ⋮ Stochastic programming approach to optimization under uncertainty ⋮ Bounds and Approximations for Multistage Stochastic Programs ⋮ Accelerated sample average approximation method for two-stage stochastic programming with binary first-stage variables ⋮ Bundle-level type methods uniformly optimal for smooth and nonsmooth convex optimization ⋮ Enhancements of two-stage stochastic decomposition ⋮ Simulation-based approach to estimation of latent variable models ⋮ Level bundle-like algorithms for convex optimization ⋮ Multi-echelon supply chain design considering unreliable facilities with facility hardening possibility ⋮ The expected loss in the discretization of multistage stochastic programming problems---estimation and convergence rate ⋮ Analysis of models for the stochastic outpatient procedure scheduling problem ⋮ Supply chain design under uncertainty using sample average approximation and dual decomposition ⋮ Sequential importance sampling algorithms for dynamic stochastic programming ⋮ On sample average approximation for two-stage stochastic programs without relatively complete recourse ⋮ On complexity of multistage stochastic programs ⋮ Path-dependent scenario trees for multistage stochastic programmes in finance ⋮ Multi-period forecasting and scenario generation with limited data ⋮ Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure ⋮ Risk and complexity in scenario optimization ⋮ On rates of convergence for sample average approximations in the almost sure sense and in mean ⋮ Two-stage linear decision rules for multi-stage stochastic programming

Uses Software

OSL

Cites Work

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:1306368&oldid=13429803"