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The Role of Operations Research in Public Policy Read chapter Read first chapter

2003 | OriginalPaper | Chapter

Testing Solution Quality in Stochastic Programs

Author : David P. Morton

Published in: Operations Research Proceedings 2002

Publisher: Springer Berlin Heidelberg

Included in: Professional Book Archive

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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.

previous chapter The Complexity of Some Problems on Maximal Independent Sets in Graphs
next chapter Scenario Updating Method for Stochastic Mixed-integer Programming Problems
Metadata
Title
Testing Solution Quality in Stochastic Programs
Author
David P. Morton
Copyright Year
2003
Publisher
Springer Berlin Heidelberg
Book
Operations Research Proceedings 2002

Print ISBN: 978-3-540-00387-8

Electronic ISBN: 978-3-642-55537-4

Copyright Year: 2003

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