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A stochastic programming model to find optimal sample sizes to estimate unknown parameters in an LP
Authors:András Prékopa
Institution:Center for Operations Research, RUTCOR, Rutgers University, 640 Bartholomew Road, Piscataway, NJ 08854-8003, USA
Abstract:An LP is considered where the technology coefficients are unknown and random samples are taken to estimate them. A stochastic programming problem is formulated to find the optimal sample sizes where it is required that a confidence interval should cover the unknown deterministic optimum value by a given probability and the cost of sampling be minimum.
Keywords:90C15  62F25  90C25  91A15
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