Software for Data-Based Stochastic Programming Using Bootstrap Estimation

Xiaotie Chen () and David L. Woodruff ()
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Xiaotie Chen: Department of Mathematics, University of California Davis, Davis, California 95616
David L. Woodruff: Graduate School of Management, University of Davis, Davis, California 95616

INFORMS Journal on Computing, 2023, vol. 35, issue 6, 1218-1224

Abstract: 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.

Keywords: data-driven; stochastic programming; bootstrap; bagging (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:orijoc:v:35:y:2023:i:6:p:1218-1224

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