Stratified filtered sampling in stochastic optimization

Robert Rush, John M. Mulvey, John E. Mitchell, Thomas R. Willemain

Research output: Contribution to journalArticle

7 Scopus citations

Abstract

We develop a methodology for evaluating a decision strategy generated by a stochastic optimization model. The methodology is based on a pilot study in which we estimate the distribution of performance associated with the strategy, and define an appropriate stratified sampling plan. An algorithm we call filtered search allows us to implement this plan efficiently. We demonstrate the approach's advantages with a problem in asset / liability management for an insurance company.

Original languageEnglish (US)
Pages (from-to)17-38
Number of pages22
JournalJournal of Applied Mathematics and Decision Sciences
Volume4
Issue number1
DOIs
StatePublished - 2000

All Science Journal Classification (ASJC) codes

  • Decision Sciences(all)
  • Statistics and Probability
  • Computational Mathematics
  • Applied Mathematics

Keywords

  • Performance evaluation
  • Stochastic optimization
  • Stratified sampling
  • Variance reduction

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