The empirical behavior of sampling methods for stochastic programming

Abstract. We investigate the quality of solutions obtained from sample-average approximations to two-stage stochastic linear programs with recourse. We use a recently developed software tool executing on a computational grid to solve many large instances of these problems, allowing us to obtain high-quality solutions and to verify optimality and near-optimality of the computed solutions in various ways.

• Type: Journal
• Year: 2006
• Where: ANOR
• Authors: Jeff Linderoth, Alexander Shapiro, Stephen Wright
• Keywords: ANOR 2006, Sample-average Approximations, Solutions, Two-stage Stochastic Linear