Applications of multi‐stage Monte Carlo integer programs

Abstract

Monte Carlo optimization has been shown to be useful in solving multivariate optimization problems. In most Monte Carlo simulations, to find the optimal solution of an integer programming problem, the computer gets close to the true optimal solution, but does not find the exact optimal. This can be a problem at times but it can be overcome by multi‐stage Monte Carlo integer programs that find a preliminary nearly optimal solution and use this as a focal point and springboard for finding the true optimal.