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Testing Solution Quality in Stochastic Programs

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Book cover Operations Research Proceedings 2002

Part of the book series: Operations Research Proceedings 2002 ((ORP,volume 2002))

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Abstract

We describe a statistical procedure for testing the quality of a feasible candidate solut ion for an important class of stochastic programs. Quality is defined via the so-called optimality gap and th e procedure’s output is a confidence interval on this gap. We review a multiple-replications procedure for constructing the confidence interval. Then, we present a result that allows the procedure to be computationally simplified to a single-replication procedure.

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Author information

Authors and Affiliations

  1. Graduate Program in Operations Research, The University of Texas at Austin, Austin, TX, 78712, USA

    David P. Morton

Authors
  1. David P. Morton
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Editor information

Editors and Affiliations

  1. Institut für Statistik und Operations Research, Universität Graz, Universitätsstraße 15/E3, 8010, Graz, Austria

    Ulrike Leopold-Wildburger

  2. Institut für Mathematik, Universität Klagenfurt, 9020, Klagenfurt, Austria

    Franz Rendl

  3. Fakultät für Wirtschaftswissenschaften BWL VIII: Management Science, Otto-von-Guericke-Universität Magdeburg, 39016, Postfach 4120, Magdeburg, Germany

    Gerhard Wäscher

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© 2003 Springer-Verlag Berlin Heidelberg

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Morton, D.P. (2003). Testing Solution Quality in Stochastic Programs. In: Leopold-Wildburger, U., Rendl, F., Wäscher, G. (eds) Operations Research Proceedings 2002. Operations Research Proceedings 2002, vol 2002. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-55537-4_64

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  • DOI: https://doi.org/10.1007/978-3-642-55537-4_64

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-00387-8

  • Online ISBN: 978-3-642-55537-4

  • eBook Packages: Springer Book Archive

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