Stratified filtered sampling in stochastic optimization

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

doi:10.1155/S117391260000002X

Stratified filtered sampling in stochastic optimization

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

Research output: Contribution to journal › Article › peer-review

10 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 language	English (US)
Pages (from-to)	17-38
Number of pages	22
Journal	Journal of Applied Mathematics and Decision Sciences
Volume	4
Issue number	1
DOIs	https://doi.org/10.1155/S117391260000002X
State	Published - 2000

All Science Journal Classification (ASJC) codes

General Decision Sciences
Statistics and Probability
Computational Mathematics
Applied Mathematics

Keywords

Performance evaluation
Stochastic optimization
Stratified sampling
Variance reduction

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10.1155/S117391260000002X

Cite this

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title = "Stratified filtered sampling in stochastic optimization",

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.",

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author = "Robert Rush and Mulvey, {John M.} and Mitchell, {John E.} and Willemain, {Thomas R.}",

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AU - Mulvey, John M.

AU - Mitchell, John E.

AU - Willemain, Thomas R.

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N2 - 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.

AB - 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.

KW - Performance evaluation

KW - Stochastic optimization

KW - Stratified sampling

KW - Variance reduction

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ER -

Stratified filtered sampling in stochastic optimization

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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