Sequential sampling for solving stochastic programs
Published in Winter Simulation Conference • Dec 9, 2007
Authors:,
Güzi̇n Bayraksan
David P. Morton
Abstract
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...
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