Assessing policy quality in multi-stage stochastic programming
dc.contributor.author | Chiralaksanakul, Anukal | |
dc.contributor.author | Morton, David P. | |
dc.contributor.editor | Higle, Julie L. | |
dc.contributor.editor | Römisch, Werner | |
dc.contributor.editor | Sen, Surrajeet | |
dc.date.accessioned | 2017-06-16T19:58:48Z | |
dc.date.available | 2017-06-16T19:58:48Z | |
dc.date.created | 2006-03-02 | |
dc.date.issued | 2004-05-17 | |
dc.date.submitted | 2004-01-26 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/8971 | |
dc.description.abstract | Solving a multi-stage stochastic program with a large number of scenarios and a moderate-to-large number of stages can be computationally challenging. We develop two Monte Carlo-based methods that exploit special structures to generate feasible policies. To establish the quality of a given policy, we employ a Monte Carlo-based lower bound (for minimization problems) and use it to construct a confidence interval on the policy's optimality gap. The confidence interval can be formed in a number of ways depending on how the expected solution value of the policy is estimated and combined with the lower-bound estimator. Computational results suggest that a confidence interval formed by a tree-based gap estimator may be an effective method for assessing policy quality. Variance reduction is achieved by using common random numbers in the gap estimator. | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject.ddc | 510 Mathematik | |
dc.title | Assessing policy quality in multi-stage stochastic programming | |
dc.type | book | |
dc.identifier.urn | urn:nbn:de:kobv:11-10059513 | |
dc.identifier.doi | http://dx.doi.org/10.18452/8319 | |
local.edoc.container-title | Stochastic Programming E-Print Series | |
local.edoc.pages | 36 | |
local.edoc.type-name | Buch | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
local.edoc.container-volume | 2004 | |
local.edoc.container-issue | 12 | |
local.edoc.container-erstkatid | 2936317-2 |