A stochastic programming model to find optimal sample sizes to estimate unknown parameters in an LP |
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Authors: | Andrá s Pré kopa |
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Affiliation: | Center for Operations Research, RUTCOR, Rutgers University, 640 Bartholomew Road, Piscataway, NJ 08854-8003, USA |
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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. |
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Keywords: | 90C15 62F25 90C25 91A15 |
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