Book ChapterDOI
On a stochastic knapsack problem and generalizations
David P. Morton,R. Kevin Wood +1 more
- pp 149-168
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A Monte Carlo approximation procedure is developed to solve SKPs with general distributions on the random returns and utilizes upper- and lower-bound estimators on the true optimal solution value in order to construct a confidence interval on the optimality gap of a candidate solution.Abstract:
We consider an integer stochastic knapsack problem (SKP) where the weight of each item is deterministic, but the vector of returns for the items is random with known distribution. The objective is to maximize the probability that a total return threshold is met or exceeded. We study several solution approaches. Exact procedures, based on dynamic programming (DP) and integer programming (IP), are developed for returns that are independent normal random variables with integral means and variances. Computation indicates that the DP is significantly faster than the most efficient algorithm to date. The IP is less efficient, but is applicable to more general stochastic IPs with independent normal returns. We also develop a Monte Carlo approximation procedure to solve SKPs with general distributions on the random returns. This method utilizes upper- and lower-bound estimators on the true optimal solution value in order to construct a confidence interval on the optimality gap of a candidate solution.read more
Citations
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Journal ArticleDOI
The Sample Average Approximation Method for Stochastic Discrete Optimization
TL;DR: A Monte Carlo simulation--based approach to stochastic discrete optimization problems, where a random sample is generated and the expected value function is approximated by the corresponding sample average function.
Journal ArticleDOI
Stochastic Vehicle Routing with Random Travel Times
Astrid S. Kenyon,David P. Morton +1 more
TL;DR: This work considers stochastic vehicle routing problems on a network with random travel and service times and provides bounds on optimal objective function values and conditions under which reductions to simpler models can be made.
Journal ArticleDOI
Assessing solution quality in stochastic programs
Güzin Bayraksan,David P. Morton +1 more
TL;DR: In this paper, Monte Carlo sampling-based procedures for assessing solution quality in stochastic programs are developed. But the quality is defined via the optimality gap and the procedures' output is a confidence interval on this gap.
Journal ArticleDOI
Variable-sample methods for stochastic optimization
TL;DR: This article discusses the application of a certain class of Monte Carlo methods to stochastic optimization problems by studying a modification of the well-known pure random search method, adapting it to the variable-sample scheme, and showing conditions for convergence of the algorithm.
Proceedings Article
Assessing Solution Quality in Stochastic Programs.
David P. Morton,Güzin Bayraksan +1 more
TL;DR: This paper develops Monte Carlo sampling-based procedures for assessing solution quality in stochastic programs and proposes using ɛ-optimal solutions to strengthen the performance of these procedures.
References
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Book
Simulation Modeling and Analysis
Averill M. Law,W. David Kelton +1 more
TL;DR: The text is designed for a one-term or two-quarter course in simulation offered in departments of industrial engineering, business, computer science and operations research.
Journal ArticleDOI
Discrete-Variable Extremum Problems
TL;DR: This paper reviews some recent successes in the use of linear programming methods for the solution of discrete-variable extremum problems and one example of the Use of the multistage approach of dynamic programming for this purpose is discussed.