期刊
OPERATIONS RESEARCH
卷 59, 期 4, 页码 898-913出版社
INFORMS
DOI: 10.1287/opre.1110.0926
关键词
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资金
- National Science Foundation [CMMI-0653916, EFRI-0835930]
- Defense Threat Reduction Agency [HDTRA1-08-1-0029]
- Div Of Civil, Mechanical, & Manufact Inn
- Directorate For Engineering [0800676] Funding Source: National Science Foundation
We develop a sequential sampling procedure for a class of stochastic programs. We assume that a sequence of feasible solutions with an optimal limit point is given as input to our procedure. Such a sequence can be generated by solving a series of sampling problems with increasing sample size, or it can be found by any other viable method. Our procedure estimates the optimality gap of a candidate solution from this sequence. If the point estimate of the optimality gap is sufficiently small according to our termination criterion, then we stop. Otherwise, we repeat with the next candidate solution from the sequence under an increased sample size. We provide conditions under which this procedure (i) terminates with probability one and (ii) terminates with a solution that has a small optimality gap with a prespecified probability.
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