On interval estimates for optimal value of stochastic programs. (English) Zbl 0790.90054
Kall, Peter (ed.), System modelling and optimization. Proceedings of the 15th IFIP conference, Zurich, Switzerland, September 2-6, 1991. Berlin: Springer-Verlag. Lect. Notes Control Inf. Sci. 180, 556-563 (1992).
The aim of the paper is to provide confidence intervals for the optimal values of stochastic linear programs with individual probabilistic constraints and random right hand sides. Two techniques are suggested: The first one is based on known confidence intervals for sample quantiles the second one uses only one set of sample quantiles completed by an expert estimate for the optimal value. An application to a simple stochastic model of reservoir design based on real data illustrates these two approaches.
For the entire collection see [Zbl 0778.00028].
For the entire collection see [Zbl 0778.00028].
Reviewer: J.Dupačová (Praha)
MSC:
| 90C15 | Stochastic programming |
| 62G15 | Nonparametric tolerance and confidence regions |
| 62G30 | Order statistics; empirical distribution functions |
