Combining the stochastic counterpart and stochastic approximation methods

DOI10.1023/A:1008286324509MaRDI QIDQ679024zbMATH OpenFDO

Authors Jean-Pierre Dussault, Donald Labrecque, Pierre L'Ecuyer, Reuven Y. Rubinstein

Publication date 12 August 1997

Published in Discrete Event Dynamic Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1008286324509

zbMATH Keywords

crude Monte Carlo methodexpected performanceoptimizationscore functionstochastic approximationstochastic counterpart

Mathematics Subject Classification ID

Stochastic approximation (62L20) Monte Carlo methods (65C05) Sensitivity (robustness) (93B35) Optimal stochastic control (93E20) Stochastic systems and control (93E99)

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Cited in

(1)

• On a multistage discrete stochastic optimization problem with stochastic constraints and nested sampling

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