TY - GEN
T1 - Sequential sampling for solving stochastic programs
AU - Bayraksan, Güizin
AU - Morton, David P.
PY - 2007
Y1 - 2007
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.
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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 -