Software for Data-Based Stochastic Programming Using Bootstrap Estimation

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.

History: Accepted by Ted Ralphs, Area Editor for Software Tools.

Supplemental Material: The software that supports the findings of this study is available within the paper and its Supplemental Information (https://pubsonline.informs.org/doi/suppl/10.1287/ijoc.2022.0253) as well as from the IJOC GitHub software repository (https://github.com/INFORMSJoC/2022.0253). The complete IJOC Software and Data Repository is available at https://informsjoc.github.io/.