Stratified filtered sampling in stochastic optimization

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Bob Rush, QED, John Mulvey, Princeton University, John Mitchell, Rensselaer Polytechnic Institute, and Tom Willemain, Rensselaer Polytechnic Institute.

May 23, 1997, revised January 1999.

Journal of Applied Mathematics and Decision Sciences, 4(1), 2000, pp. 17-38.


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 filtered 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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