| COMPSTAT’2004 Symposium ○c Physica-Verlag/Springer 2004 TESTING SOLUTION QUALITY IN STOCHASTIC PROGRAMMING: A SINGLE REPLICATION PROCEDURE (2008) | |||||||||||||||
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| Abstract: Wedevelop a procedure for testing the quality of a candidate solution for a class of stochastic programs. Quality is defined via the optimality gap and the procedure’s output is a confidence interval on this gap. We review a multiple-replications procedure and then, we present a result that justifies a computationally simplified single-replication procedure. We compare empirical coverage results of the two procedures for a newsvendor problem. 1 | |||||||||||||||
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