Home

About

Advanced Search

Browse by Discipline

Scientific Societies

E-print Alerts

Add E-prints

E-print Network
FAQHELPSITE MAPCONTACT US


  Advanced Search  

 
The Sample Average Approximation Method for Stochastic Programs with Integer Recourse
 

Summary: The Sample Average Approximation Method for
Stochastic Programs with Integer Recourse
Shabbir Ahmed
and Alexander Shapiro
School of Industrial & Systems Engineering
Georgia Institute of Technology
765 Ferst Drive, Atlanta, GA 30332
February 5, 2002
Abstract
This paper develops a solution strategy for two-stage stochastic pro-
grams with integer recourse. The proposed methodology relies on ap-
proximating the underlying stochastic program via sampling, and solving
the approximate problem via a specialized optimization algorithm. We
show that the proposed scheme will produce an optimal solution to the
true problem with probability approaching one exponentially fast as the
sample size is increased. For fixed sample size, we describe statistical and
deterministic bounding techniques to validate the quality of a candidate
optimal solution. Preliminary computational experience with the method
is reported.
Keywords: Stochastic programming, integer recourse, sample average ap-

  

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

 

Collections: Engineering