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JAMDS
2000

Stratified filtered sampling in stochastic optimization

13 years 11 months ago
Stratified filtered sampling in stochastic optimization
We develop a methodology for evaluating a decision strategy generated by a stochastic optimization model. The methodology is based on a pilot study in which we estimate the distribution of performance associated with the strategy, and define an appropriate stratified sampling plan. An algorithm we call filtered search allows us to implement this plan efficiently. We demonstrate the approach's advantages with a problem in asset / liability management for an insurance company.
Robert Rush, John M. Mulvey, John E. Mitchell, Tho
Added 18 Dec 2010
Updated 18 Dec 2010
Type Journal
Year 2000
Where JAMDS
Authors Robert Rush, John M. Mulvey, John E. Mitchell, Thomas R. Willemain
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