Importance sampling in stochastic programming : a Markov chain Monte Carlo approach
Year of publication: |
2015
|
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Authors: | Parpas, Panos ; Ustun, Berk ; Webster, Mort ; Tran, Quang Kha |
Published in: |
INFORMS journal on computing : JOC. - Catonsville, MD : INFORMS, ISSN 1091-9856, ZDB-ID 1316077-1. - Vol. 27.2015, 2, p. 358-377
|
Subject: | Benders’ decomposition | cutting plane algorithms | stochastic optimization | stochastic programming | importance sampling | variance reduction | Monte Carlo | Markov chain Monte Carlo | kernel density estimation | nonparametric | Theorie | Theory | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Mathematische Optimierung | Mathematical programming | Stichprobenerhebung | Sampling |
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