A stochastic programming model to find optimal sample sizes to estimate unknown parameters in an LP.

András Prékopa Xiaoling Hou

Published in: Oper. Res. Lett. (2004)

Keyphrases

stochastic programming
sample size
multistage
objective function
linear program
asset liability management
genetic algorithm
artificial intelligence
search space
probability distribution
upper bound
linear programming
model selection
information criterion