Adaptive jacknife estimators for stochastic programming
| dc.contributor.advisor | Morton, David P. | en |
| dc.creator | Partani, Amit, 1978- | en |
| dc.date.accessioned | 2008-08-29T00:10:55Z | en |
| dc.date.available | 2008-08-29T00:10:55Z | en |
| dc.date.issued | 2007-12 | en |
| dc.description.abstract | Stochastic programming facilitates decision making under uncertainty. It is usually impractical or impossible to find the optimal solution to a stochastic problem, and approximations are required. Sampling-based approximations are simple and attractive, but the standard point estimate of optimization and the Monte Carlo approximation. We provide a method to reduce this bias, and hence provide a better, i.e., tighter, confidence interval on the optimal value and on a candidate solution's optimality gap. Our method requires less restrictive assumptions on the structure of the bias than previously-available estimators. Our estimators adapt to problem-specific properties, and we provide a family of estimators, which allows flexibility in choosing the level of aggressiveness for bias reduction. We establish desirable statistical properties of our estimators and empirically compare them with known techniques on test problems from the literature. | en |
| dc.description.department | Operations Research and Industrial Engineering | en |
| dc.format.medium | electronic | en |
| dc.identifier.oclc | 221323428 | en |
| dc.identifier.uri | http://hdl.handle.net/2152/3794 | en |
| dc.language.iso | eng | en |
| dc.rights | Copyright © is held by the author. Presentation of this material on the Libraries' web site by University Libraries, The University of Texas at Austin was made possible under a limited license grant from the author who has retained all copyrights in the works. | en |
| dc.subject.lcsh | Stochastic programming | en |
| dc.subject.lcsh | Estimation theory | en |
| dc.title | Adaptive jacknife estimators for stochastic programming | en |
| dc.type.genre | Thesis | en |
| thesis.degree.department | Operations Research and Industrial Engineering | en |
| thesis.degree.discipline | Operations Research and Industrial Engineering | en |
| thesis.degree.grantor | The University of Texas at Austin | en |
| thesis.degree.level | Doctoral | en |
| thesis.degree.name | Doctor of Philosophy | en |