Journal of Applied Mathematics and Decision Sciences
Volume 4 (2000), Issue 1, Pages 17-38

Stratified filtered sampling in stochastic optimization

Robert Rush,1 John M. Mulvey,2 John E. Mitchell,3 and Thomas R. Willemain3

1Investment policy and Research Group, John Hancok Mutual Life Insurance Company, boston, massachusetts, USA
2Princeton University Princeton, NJ, USA
3Rensselaer Polytechnic Institute, Troy, New York, USA

Copyright © 2000 Robert Rush et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


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.