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Bias Reduction in Assessing Solution Quality for Stochastic Programs
| Content Provider | Semantic Scholar |
|---|---|
| Author | Stockbridge, Rebecca |
| Copyright Year | 2013 |
| Abstract | Monte Carlo sampling-based estimators of solution quality for stochastic programs are known to be biased. We present a method for reducing the bias of the estimators produced by the Averaged Two-Replication Procedure via a probability metrics approach, which can be done in polynomial time in sample size. We present analytic results for the newsvendor problem, and discuss further theoretical and computational results. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.math.wayne.edu/~hli/research/abstracts/wsuappsem/20130925.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |