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The Sample Average Approximation Method Applied to Stochastic Routing Problems: A Computational Study
 

Summary: The Sample Average Approximation Method Applied to
Stochastic Routing Problems: A Computational Study
Bram Verweij
, Shabbir Ahmed
, Anton J. Kleywegt
,
George Nemhauser
, and Alexander Shapiro
Georgia Institute of Technology
School of Industrial and Systems Engineering
Atlanta, GA 30332-0205
November 7, 2002
Abstract
The sample average approximation (SAA) method is an approach for solving stochastic
optimization problems by using Monte Carlo simulation. In this technique the expected objective
function of the stochastic problem is approximated by a sample average estimate derived from
a random sample. The resulting sample average approximating problem is then solved by
deterministic optimization techniques. The process is repeated with different samples to obtain
candidate solutions along with statistical estimates of their optimality gaps.
We present a detailed computational study of the application of the SAA method to solve

  

Source: Ahmed, Shabbir - School of Industrial and Systems Engineering, Georgia Institute of Technology

 

Collections: Engineering