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Importance sampling in stochastic programming : a Markov chain Monte Carlo approach

Parpas, Panos; Ustun, Berk; Webster, Mort; Tran, Quang Kha - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 358-377

Persistent link: https://www.econbiz.de/10011291297

Ensemble variance reduction methods for stochastic mixed-integer programming and their application to the stochastic facility location problem

Xu, Jiajun; Sen, Suvrajeet - In: INFORMS journal on computing : JOC ; charting new … 36 (2024) 2, pp. 587-599

Persistent link: https://www.econbiz.de/10014532313

A generative adversarial network approach to calibration of local stochastic volatility models

Cuchiero, Christa; Khosrawi, Wahid; Teichmann, Josef - In: Risks : open access journal 8 (2020) 4/101, pp. 1-31

We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface. To achieve this, we parametrize the leverage function by a family of feed-forward neural networks and learn their...

Persistent link: https://www.econbiz.de/10012373082

Randomized smoothing variance reduction method for large-scale non-smooth convex optimization

Huang, Wenjie; Zhang, Xun - In: Operations research forum 2 (2021) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10012589765

Calibration of distributionally roubust empirical optimization models

Gotoh, Jun-ya; Kim, Michael Jong; Lim, Andrew E. B. - In: Operations research 69 (2021) 5, pp. 1630-1650

Persistent link: https://www.econbiz.de/10012661084

Compromise policy for multi-stage stochastic linear programming : variance and bias reduction

Xu, Jiajun; Sen, Survajeet - In: Computers & operations research : and their … 153 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014266356

Economic modelling and optimisation of SPRT-based quality control schemes for individual observations

Li, Chenglong; Nenes, George - In: International journal of production research 62 (2024) 24, pp. 8766-8789

Persistent link: https://www.econbiz.de/10015196889

A hybrid biobjective Markov chain based optimization model for sustainable aggregate production planning

Tirkolaee, Erfan Babaee; Aydın, Nadi Serhan; Mahdavi, Iraj - In: IEEE transactions on engineering management : EM ; a … 71 (2024), pp. 4273-4283

Persistent link: https://www.econbiz.de/10015407828

Optimal operating policies for multi-plant stochastic manufacturing systems in a changing environment

Li, Lode; Porteus, Evan L.; Zhang, Hongtao - 1999

Persistent link: https://www.econbiz.de/10001454011

On the distribution of read heads acting on a computer hard disk

Lenz, Hans-Joachim; Kössler, Wolfgang - 1998

Persistent link: https://www.econbiz.de/10000986567

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