Importance Sampling in Stochastic Programming: A Markov Chain Monte Carlo Approach
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Publication:3466780
DOI10.1287/IJOC.2014.0630zbMath1329.90095OpenAlexW2002946775MaRDI QIDQ3466780
Panos Parpas, Berk Ustun, Mort Webster, Quang Kha Tran
Publication date: 25 January 2016
Published in: INFORMS Journal on Computing (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10044/1/23338
stochastic optimizationstochastic programmingMonte Carloimportance samplingMarkov chain Monte Carlovariance reductionkernel density estimationnonparametricBenders' decompositioncutting plane algorithms
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