Variance reduction in Monte Carlo sampling-based optimality gap estimators for two-stage stochastic linear programming
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Publication:288402
DOI10.1007/S10589-015-9814-9zbMath1342.90119DBLPjournals/coap/StockbridgeB16OpenAlexW2298876865WikidataQ57500065 ScholiaQ57500065MaRDI QIDQ288402
Rebecca Stockbridge, Güzin Bayraksan
Publication date: 25 May 2016
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10589-015-9814-9
Monte Carlo samplingLatin hypercube samplingvariance reductiontwo-stage stochastic programmingantithetic variatesoptimality gap estimation
Related Items (3)
An improved averaged two-replication procedure with Latin hypercube sampling ⋮ Variance reduction for sequential sampling in stochastic programming ⋮ Adaptive Sequential Sample Average Approximation for Solving Two-Stage Stochastic Linear Programs
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