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- David P. Morton, Güzin Bayraksan
- Algorithms for Optimization with Incomplete…
- 2005

Determining whether a solution is of high quality (optimal or near optimal) is fundamental in optimization theory and algorithms. In this paper, we develop Monte Carlo sampling-based procedures for assessing solution quality in stochastic programs. Quality is defined via the optimality gap and our procedures’ output is a confidence interval on this gap. We… (More)

- Güzin Bayraksan, David P. Morton
- Operations Research
- 2011

We develop a sequential sampling procedure for a class of stochastic programs. We assume that a sequence of feasible solutions with an optimal limit point is given as input to our procedure. Such a sequence can be generated by solving a series of sampling problems with increasing sample size, or it can be found by any other viable method. Our procedure… (More)

Determining if a solution is optimal or near optimal is fundamental in optimization theory, algorithms, and computation. For instance, Karush-Kuhn-Tucker conditions provide necessary and sufficient optimality conditions for certain classes of problems, and bounds on optimality gaps are frequently used as part of optimization algorithms. Such bounds are… (More)

Most of classical stochastic programming assumes that the distribution of uncertain parameters are known, and this distribution is an input to the model. In many applications, however, the true distribution is unknown. An ambiguity set of distributions can be used in these cases to hedge against the distributional uncertainty. Phi-divergences… (More)

This paper surveys the use of Monte Carlo sampling-based methods for stochastic optimization problems. Such methods are required when—as it often happens in practice—the model involves quantities such as expectations and probabilities that cannot be evaluated exactly. While estimation procedures via sampling are well studied in statistics, the use of such… (More)

- Gunhui Chung, Kevin Lansey, Güzin Bayraksan
- Environmental Modelling and Software
- 2009

Given the natural variability and uncertainties in long-term predictions, reliability is a critical design factor for water supply systems. However, the large scale of the problem and the correlated nature of the involved uncertainties result in models that are often intractable. In this paper, we consider a municipal water supply system over a 15-year… (More)

- Michael C. Fu, Güzin Bayraksan, +4 authors Benjamin G. Thengvall
- Proceedings of the Winter Simulation Conference…
- 2014

The goal of this panel was to discuss the state of the art in simulation optimization research and practice. The participants included representation from both academia and industry, where the latter was represented by participation from a leading software provider of optimization tools for simulation. This paper begins with a short introduction to… (More)

- Güzin Bayraksan, Péguy Pierre-Louis
- SIAM Journal on Optimization
- 2012

Monte Carlo sampling-based methods are frequently used in stochastic programming when exact solution is not possible. A critical component of Monte Carlo sampling-based methods is determining when to stop sampling to ensure the desired quality of the solutions. In this paper, we develop stopping rules for sequential sampling procedures that depend on the… (More)

We provide an overview of two select topics in Monte Carlo simulationbased methods for stochastic optimization: problems with stochastic constraints and variance reduction techniques. While Monte Carlo simulation-based methods have been successfully used for stochastic optimization problems with deterministic constraints, there is a growing body of work on… (More)

This paper investigates the use of φ-divergences in ambiguous (or distributionally robust) two-stage stochastic programs. Classical stochastic programming assumes the distribution of uncertain parameters are known. However, the true distribution is unknown in many applications. Especially in cases where there is little data or not much trust in the data, an… (More)