Event tree based sampling

DOI10.1016/J.COR.2004.09.008MaRDI QIDQ2496018zbMATH OpenOpenAlexFDO

Authors Joocheol Kim

Publication date 30 June 2006

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cor.2004.09.008

zbMATH Keywords

stochastic programmingasset liability managementsampling-based optimization

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

• scientific article; zbMATH DE number 3720681 (Why is no real title available?)
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• scientific article; zbMATH DE number 3063454 (Why is no real title available?)
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• A simulation-based approach to two-stage stochastic programming with recourse
• Duality and statistical tests of optimality for two stage stochastic programs
• Integrated Variance Reduction Strategies for Simulation
• Introduction to Stochastic Programming
• Monte Carlo bounding techniques for determinig solution quality in stochastic programs
• Parallel processors for planning under uncertainty
• The sample average approximation method for stochastic discrete optimization
• Variance Reduction and Objective Function Evaluation in Stochastic Linear Programs
• stochastic quasigradient methods and their application to system optimization^†

Cited in

(1)

• From empirical observations to tree models for stochastic optimization: convergence properties

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