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Sample out-of-sample inference based on Wasserstein distance

Blanchet, Jose; Kang, Yang - In: Operations research 69 (2021) 3, pp. 985-1013

Persistent link: https://www.econbiz.de/10012546913

Minimization of a class of rare event probabilities and buffered probabilities of exceedance

Budhiraja, Amarjit; Lu, Shu; Yu, Yang; Tran-Dinh, Quoc - 2021

Persistent link: https://www.econbiz.de/10012605874

First passage times in portfolio optimization : a novel nonparametric approach

Zsurkis, Gabriel; Nicolau, João; Rodrigues, Paulo M. M. - In: European journal of operational research : EJOR 312 (2024) 3, pp. 1074-1085

Persistent link: https://www.econbiz.de/10014456467

Technical note: the elliptical potential lemma for general distributions with an application to linear thompson sampling

Hamidi, Nima; Bayati, Mohsen - In: Operations research 71 (2023) 4, pp. 1434-1439

Persistent link: https://www.econbiz.de/10014338245

Estimation and asymptotics for buffered probability of exceedance

Mafusalov, Alexander; Shapiro, Alexander; Uryasev, Stan - In: European journal of operational research : EJOR 270 (2018) 3, pp. 826-836

Persistent link: https://www.econbiz.de/10011882603

Adaptive sample size and importance sampling in estimation-based local search for the probabilistic traveling salesman problem

Balaprakash, Prasanna; Birattari, Mauro; Stützle, Thomas G. - In: European journal of operational research : EJOR 199 (2009) 1, pp. 98-110

Persistent link: https://www.econbiz.de/10003863216

A tabu search algorithm for the probabilistic orienteering problem

Chou, Xiaochen; Gambardella, Luca Maria; Montemanni, Roberto - In: Computers & operations research : and their … 126 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10012425867

Sampling of Probability Measures in the Convex Order and Approximation of Martingale Optimal Transport Problems

Alfonsi, Aurélien - 2017

In this paper, motivated by the approximation of Martingale Optimal Transport problems, we are interested in sampling … numerical experiments the resulting sampling methods that preserve the convex order and their application to approximate …

Persistent link: https://www.econbiz.de/10012943371

A note on appointment scheduling with piecewise linear cost functions

Ge, Dongdong; Wan, Guohua; Wang, Zizhuo; Zhang, Jiawei - In: Mathematics of operations research 39 (2014) 4, pp. 1244-1251

Persistent link: https://www.econbiz.de/10010462130

Lagrangian dual decision rules for multistage stochastic mixed-integer programming

Daryalal, Maryam; Bodur, Merve; Luedtke, James R. - In: Operations research 72 (2024) 2, pp. 717-737

Persistent link: https://www.econbiz.de/10014520886