Software for data-based stochastic programming using bootstrap estimation

  • Xiaotie Chen
  • David L. Woodruff
    • Categories Other Topics, Stochastic Programming Short URL: https://optimization-online.org/?p=19972

    In this paper we describe software for stochastic programming that uses only sampled data to
    obtain both a consistent sample-average solution and a consistent estimate of confidence intervals
    for the optimality gap using bootstrap and bagging. The underlying distribution whence the
    samples come is not required.

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