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Simulation-Based Optimality Tests for Stochastic Programs

  • Güzin Bayraksan
  • David P. Morton
  • Amit Partani
Chapter
Part of the International Series in Operations Research & Management Science book series (ISOR, volume 150)

Abstract

Assessing whether a solution is optimal, or near-optimal, is fundamental in optimization. We describe a simple simulation-based procedure for assessing the quality of a candidate solution to a stochastic program. The procedure is easy to implement, widely applicable, and yields point and interval estimators on the candidate solutions optimality gap. Our simplest procedure allows for significant computational improvements. The improvements we detail aim to reduce computational effort through single- and two-replication procedures, reduce bias via a class of generalized jackknife estimators, and reduce variance by using a randomized quasi-Monte Carlo scheme.

Keywords

Monte Carlo Candidate Solution Stochastic Program Latin Hypercube Sampling Interval Estimator 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Notes

Acknowledgments

The authors thank Georg Pflug for valuable discussions, particularly with respect to Example 3.2. This research was supported by the National Science Foundation under grants CMMI-0653916 and EFRI-0835930.

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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  • Güzin Bayraksan
    • 1
  • David P. Morton
    • 2
  • Amit Partani
    • 2
  1. 1.Systems and Industrial EngineeringUniversity of ArizonaTucsonUSA
  2. 2.Graduate Program in Operations ResearchThe University of Texas at AustinAustinUSA

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