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The impact of sampling methods on bias and variance in stochastic linear programs

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  • Michael Freimer
  • Jeffrey Linderoth
  • Douglas Thomas

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  • Michael Freimer & Jeffrey Linderoth & Douglas Thomas, 2012. "The impact of sampling methods on bias and variance in stochastic linear programs," Computational Optimization and Applications, Springer, vol. 51(1), pages 51-75, January.
    • Handle: RePEc:spr:coopap:v:51:y:2012:i:1:p:51-75
    DOI: 10.1007/s10589-010-9322-x
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    References listed on IDEAS

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    1. Jeff Linderoth & Alexander Shapiro & Stephen Wright, 2006. "The empirical behavior of sampling methods for stochastic programming," Annals of Operations Research, Springer, vol. 142(1), pages 215-241, February.
    2. John M. Mulvey & Andrzej Ruszczyński, 1995. "A New Scenario Decomposition Method for Large-Scale Stochastic Optimization," Operations Research, INFORMS, vol. 43(3), pages 477-490, June.
    3. George B. Dantzig, 1955. "Linear Programming under Uncertainty," Management Science, INFORMS, vol. 1(3-4), pages 197-206, 04-07.
    4. Athanassios N. Avramidis & James R. Wilson, 1998. "Correlation-Induction Techniques for Estimating Quantiles in Simulation Experiments," Operations Research, INFORMS, vol. 46(4), pages 574-591, August.
    5. Apostolos N. Burnetas & Craig E. Smith, 2000. "Adaptive Ordering and Pricing for Perishable Products," Operations Research, INFORMS, vol. 48(3), pages 436-443, June.
    6. Julia L. Higle, 1998. "Variance Reduction and Objective Function Evaluation in Stochastic Linear Programs," INFORMS Journal on Computing, INFORMS, vol. 10(2), pages 236-247, May.
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    Citations

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    Cited by:

    1. Jangho Park & Rebecca Stockbridge & Güzin Bayraksan, 2021. "Variance reduction for sequential sampling in stochastic programming," Annals of Operations Research, Springer, vol. 300(1), pages 171-204, May.
    2. Arnab Bhattacharya & Jeffrey P. Kharoufeh & Bo Zeng, 2023. "A Nonconvex Regularization Scheme for the Stochastic Dual Dynamic Programming Algorithm," INFORMS Journal on Computing, INFORMS, vol. 35(5), pages 1161-1178, September.
    3. Ward Romeijnders & David P. Morton & Maarten H. van der Vlerk, 2017. "Assessing the Quality of Convex Approximations for Two-Stage Totally Unimodular Integer Recourse Models," INFORMS Journal on Computing, INFORMS, vol. 29(2), pages 211-231, May.
    4. Maria Albareda-Sambola & Elena Fernández & Francisco Saldanha-da-Gama, 2017. "Heuristic Solutions to the Facility Location Problem with General Bernoulli Demands," INFORMS Journal on Computing, INFORMS, vol. 29(4), pages 737-753, November.
    5. Yunxiao Deng & Suvrajeet Sen, 2022. "Predictive stochastic programming," Computational Management Science, Springer, vol. 19(1), pages 65-98, January.
    6. Seddig, Katrin & Jochem, Patrick & Fichtner, Wolf, 2019. "Two-stage stochastic optimization for cost-minimal charging of electric vehicles at public charging stations with photovoltaics," Applied Energy, Elsevier, vol. 242(C), pages 769-781.
    7. Rebecca Stockbridge & Güzin Bayraksan, 2016. "Variance reduction in Monte Carlo sampling-based optimality gap estimators for two-stage stochastic linear programming," Computational Optimization and Applications, Springer, vol. 64(2), pages 407-431, June.
    8. Löhndorf, Nils, 2016. "An empirical analysis of scenario generation methods for stochastic optimization," European Journal of Operational Research, Elsevier, vol. 255(1), pages 121-132.

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