Numerical Evaluation of Approximation Methods in Stochastic Programming

@inproceedings{Kchler2010NumericalEO,
  title={Numerical Evaluation of Approximation Methods in Stochastic Programming},
  author={Christian K{\"u}chler and Stefan Vigerske},
  year={2010}
}
We study an approach for the evaluation of approximation and solution methods for multistage linear stochastic programs by measuring the performance of the obtained solutions on a set of out-of-sample scenarios. The main point of the approach is to restore the feasibility of solutions to an approximate problem along the out-of-sample scenarios. For this purpose, we consider and compare different feasibility and optimality based projection methods. With this at hand, we study the quality of… CONTINUE READING

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Numerical Evaluation of Approximation Methods in Stochastic Programming

• C. Küchler, S. Vigerske
Optimization 59, • 2010

Stability, Approximation, and Decomposition in Two- and Multistage Stochastic Programming, Ph.D

C. Küchler
2009
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