Xiaotie Chen

Software for data-based stochastic programming using bootstrap estimation

  • Xiaotie Chen
  • David L. Woodruff
    • Categories Other Topics, Stochastic Programming

    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. Article Download View Software for data-based stochastic programming using … Read more

    Confidence Interval Software for Multi-stage Stochastic Programs

  • Xiaotie Chen
  • Sylvain Cazaux
  • Brian Knight
  • David L. Woodruff
    • Categories Stochastic Programming Tags , ,

    When the uncertainty is explicitly modeled in an optimization problem, it is often necessary to use samples to compute a solution, which gives rise to a need to compute confidence intervals around the objective function value that is obtained. In this paper we describe software that implements well-known methods for two stage problems and we … Read more