A probability metrics approach for reducing the bias of optimality gap estimators in two-stage stochastic linear programming.
Rebecca StockbridgeGüzin BayraksanPublished in: Math. Program. (2013)
Keyphrases
- linear programming
- linear program
- integer programming
- optimal solution
- variance reduction
- low variance
- average cost
- feasible solution
- probability distribution
- dynamic programming
- objective function
- np hard
- evaluation metrics
- primal dual
- nonlinear programming
- network flow
- class membership probabilities
- average reward reinforcement learning
- cross entropy
- quadratic programming
- stochastic optimization
- confidence intervals
- interior point
- posterior probability
- data sets
- stochastic programming
- optimality criterion
- similarity measure