The empirical behavior of sampling methods for stochastic programming

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Publication:2507414

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DOI10.1007/s10479-006-6169-8zbMath1122.90391OpenAlexW2000257769WikidataQ105583406 ScholiaQ105583406MaRDI QIDQ2507414

Jeff Linderoth, Stephen J. Wright, Alexander Shapiro

Publication date: 11 October 2006

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-006-6169-8

zbMATH Keywords

Monte Carlo sampling computational grid recourse sample average approximations stochastic linear programming optimality gap statistical KKT test

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15)

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