Journal
ANNALS OF OPERATIONS RESEARCH
Volume 142, Issue 1, Pages 215-241Publisher
SPRINGER
DOI: 10.1007/s10479-006-6169-8
Keywords
stochastic linear programming; recourse; sample average approximations; computational grid; Monte Carlo sampling; optimality gap; statistical KKT test
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We investigate the quality of solutions obtained from sample-average approximations to two-stage stochastic linear programs with recourse. We use a recently developed software tool executing on a computational grid to solve many large instances of these problems, allowing us to obtain high-quality solutions and to verify optimality and near-optimality of the computed solutions in various ways.
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