Journal of Applied Mathematics and Decision Sciences
Volume 4 (2000), Issue 1, Pages 17-38
doi:10.1155/S117391260000002X
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.