TY - GEN

T1 - Sequential sampling for solving stochastic programs

AU - Bayraksan, Güizin

AU - Morton, David P.

PY - 2007/12/1

Y1 - 2007/12/1

N2 - We develop a sequential sampling procedure for solving a class of stochastic programs. A sequence of feasible solutions, with at least one optimal limit point, is given as input to our procedure. Our procedure estimates the optimality gap of a candidate solution from this sequence, and if that point estimate is sufficiently small then we stop. Otherwise, we repeat with the next candidate solution from the sequence with a larger sample size. We provide conditions under which this procedure: (i) terminates with probability one and (ii) terminates with a solution which has a small optimality gap with a prespecified probability.

AB - We develop a sequential sampling procedure for solving a class of stochastic programs. A sequence of feasible solutions, with at least one optimal limit point, is given as input to our procedure. Our procedure estimates the optimality gap of a candidate solution from this sequence, and if that point estimate is sufficiently small then we stop. Otherwise, we repeat with the next candidate solution from the sequence with a larger sample size. We provide conditions under which this procedure: (i) terminates with probability one and (ii) terminates with a solution which has a small optimality gap with a prespecified probability.

UR - http://www.scopus.com/inward/record.url?scp=49749135750&partnerID=8YFLogxK

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U2 - 10.1109/WSC.2007.4419631

DO - 10.1109/WSC.2007.4419631

M3 - Conference contribution

AN - SCOPUS:49749135750

SN - 1424413060

SN - 9781424413065

T3 - Proceedings - Winter Simulation Conference

SP - 421

EP - 429

BT - Proceedings of the 2007 Winter Simulation Conference, WSC

T2 - 2007 Winter Simulation Conference, WSC

Y2 - 9 December 2007 through 12 December 2007

ER -