Stratified filtered sampling in stochastic optimization | Zendy

R.J. Rush | Zendy; John M. Mulvey | Zendy; John E. Mitchell | Zendy; Thomas R. Willemain | Zendy

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Stratified filtered sampling in stochastic optimization

Author(s) -

R.J. Rush,

John M. Mulvey,

John E. Mitchell,

Thomas R. Willemain

Publication year - 2000

Publication title -

journal of applied mathematics and decision sciences

Language(s) - English

Resource type - Journals

eISSN - 1532-7612

pISSN - 1173-9126

DOI - 10.1155/s117391260000002x

Subject(s) - sampling (signal processing) , stratified sampling , computer science , plan (archaeology) , mathematical optimization , asset (computer security) , stochastic optimization , stochastic programming , operations research , filter (signal processing) , mathematics , statistics , computer security , archaeology , computer vision , history

We develop a methodology for evaluating a decision strategygenerated by a stochastic optimization model. The methodology isbased on a pilot study in which we estimate the distribution ofperformance associated with the strategy, and define an appropriatestratified sampling plan. An algorithm we call filtered searchallows us to implement this plan efficiently. We demonstrate theapproach's advantages with a problem in asset / liability managementfor an insurance company

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