Importance sampling in stochastic programming : a Markov chain Monte Carlo approach
Panos Parpas; Berk Ustun; Mort Webster; Quang Kha Tran
| 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
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| Subject: | Benders’ decomposition | cutting plane algorithms | stochastic optimization | stochastic programming | importance sampling | variance reduction | Monte Carlo | Markov chain Monte Carlo | kernel density estimation | nonparametric | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Stichprobenerhebung | Sampling | Algorithmus | Algorithm |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011291297