Monte Carlo bounding techniques for determinig solution quality in stochastic programs
From MaRDI portal
Recommendations
Cites work
- L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
- A Probabilistic Lower Bound for Two-Stage Stochastic Programs
- A regularized decomposition method for minimizing a sum of polyhedral functions
- A simulation-based approach to two-stage stochastic programming with recourse
- Asymptotic analysis of stochastic programs
- Asymptotic behavior of statistical estimators and of optimal solutions of stochastic optimization problems
- Asymptotic properties of statistical estimators in stochastic programming
- Asymptotic Theory for Solutions in Statistical Estimation and Stochastic Programming
- Duality and statistical tests of optimality for two stage stochastic programs
- Epi‐consistency of convex stochastic programs
- scientific article; zbMATH DE number 439951 (Why is no real title available?)
- scientific article; zbMATH DE number 4213739 (Why is no real title available?)
- scientific article; zbMATH DE number 3770836 (Why is no real title available?)
- scientific article; zbMATH DE number 1005357 (Why is no real title available?)
- scientific article; zbMATH DE number 4118164 (Why is no real title available?)
- Inequalities for stochastic linear programming problems
- Linear programming under uncertainty
- Monte Carlo (importance) sampling within a Benders decomposition algorithm for stochastic linear programs
- Parallel processors for planning under uncertainty
- Pricing American-style securities using simulation
- Statistical verification of optimality conditions for stochastic programs with recourse
- Stochastic decomposition. A statistical method for large scale stochastic linear programming
- Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
- Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program
- stochastic quasigradient methods and their application to system optimization†
- The value of the stochastic solution in stochastic linear programs with fixed recourse
Cited in
(only showing first 100 items - show all)- Enhancements of two-stage stochastic decomposition
- Simulation-based approach to estimation of latent variable models
- The expected loss in the discretization of multistage stochastic programming problems---estimation and convergence rate
- Supply chain design under uncertainty using sample average approximation and dual decomposition
- A two-step gradient estimation approach for setting supply chain operating parameters
- A long-term capacity expansion planning model for an electric power system integrating large-size renewable energy technologies
- Assessing policy quality in a multistage stochastic program for long-term hydrothermal scheduling
- Mixed-integer programming models for optimal constellation scheduling given cloud cover uncertainty
- The empirical likelihood approach to quantifying uncertainty in sample average approximation
- Managing congestion in a multi-modal transportation network under biomass supply uncertainty
- Shape constraints in economics and operations research
- Efficient solution selection for two-stage stochastic programs
- An integrated flight scheduling and fleet assignment problem under uncertainty
- Robust sample average approximation
- Optimization of stochastic virus detection in contact networks
- Quality evaluation of scenario-tree generation methods for solving stochastic programming problems
- Short-term liner ship fleet planning with container transshipment and uncertain container shipment demand
- Convex approximations in stochastic programming by semidefinite programming
- Simulation-based confidence bounds for two-stage stochastic programs
- A capacitated lot sizing problem with stochastic setup times and overtime
- The value of the right distribution in stochastic programming with application to a Newsvendor problem
- Sample average approximation under non-i.i.d. sampling for stochastic empty container repositioning problem
- On sample average approximation for two-stage stochastic programs without relatively complete recourse
- Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure
- Risk and complexity in scenario optimization
- On rates of convergence for sample average approximations in the almost sure sense and in mean
- Two-stage linear decision rules for multi-stage stochastic programming
- Predictive stochastic programming
- Sample average approximation for stochastic nonconvex mixed integer nonlinear programming via outer-approximation
- Optimal crashing of an activity network with disruptions
- Cut-sharing across trees and efficient sequential sampling for SDDP with uncertainty in the RHS
- Approximation of probabilistic constraints in stochastic programming problems with a probability measure kernel
- Enhancing Benders decomposition algorithm to solve a combat logistics problem
- Non-indexability of the stochastic appointment scheduling problem
- Approximations of semicontinuous functions with applications to stochastic optimization and statistical estimation
- A loose Benders decomposition algorithm for approximating two-stage mixed-integer recourse models
- Optimal insurance contract specification in the upstream sector of the oil and gas industry
- Variance reduction for sequential sampling in stochastic programming
- Component rationing for available-to-promise scheduling in configure-to-order systems
- Accelerated sample average approximation method for two-stage stochastic programming with binary first-stage variables
- Multi-echelon supply chain design considering unreliable facilities with facility hardening possibility
- Analysis of models for the stochastic outpatient procedure scheduling problem
- Multi-period forecasting and scenario generation with limited data
- On sample size control in sample average approximations for solving smooth stochastic programs
- An improved averaged two-replication procedure with Latin hypercube sampling
- Influence maximization with deactivation in social networks
- A probability metrics approach for reducing the bias of optimality gap estimators in two-stage stochastic linear programming
- Confidence level solutions for stochastic programming
- Solving two-stage stochastic programming problems with level decomposition
- A stochastic programming approach for supply chain network design under uncertainty
- Event tree based sampling
- Solving a class of stochastic mixed-integer programs with branch and price
- Assessing solution quality in stochastic programs
- Solving multistage asset investment problems by the sample average approximation method
- Near optimal solutions to least-squares problems with stochastic uncertainty
- The empirical behavior of sampling methods for stochastic programming
- Bundle-level type methods uniformly optimal for smooth and nonsmooth convex optimization
- Sequential importance sampling algorithms for dynamic stochastic programming
- On complexity of multistage stochastic programs
- Multi-criteria logistics modeling for military humanitarian assistance and disaster relief aerial delivery operations
- Supplier selection and order allocation in CLSC configuration with various supply strategies under disruption risk
- Multi-modal cargo logistics distribution problem: decomposition of the stochastic risk-averse models
- Stochastic optimization approaches for elective surgery scheduling with downstream capacity constraints: models, challenges, and opportunities
- Product-line planning under uncertainty
- Augmented simulation methods for discrete stochastic optimization with recourse
- Bounds and approximations for multistage stochastic programs
- Path-dependent scenario trees for multistage stochastic programmes in finance
- Variance reduction in Monte Carlo sampling-based optimality gap estimators for two-stage stochastic linear programming
- Sample average approximation method for solving a deterministic formulation for box constrained stochastic variational inequality problems
- Mitigating Uncertainty via Compromise Decisions in Two-Stage Stochastic Linear Programming: Variance Reduction
- Simulation-Based Optimality Tests for Stochastic Programs
- CVaR minimization by the SRA algorithm
- scientific article; zbMATH DE number 433028 (Why is no real title available?)
- Bias, exploitation and proxies in scenario-based risk minimization
- Reformulation and sampling to solve a stochastic network interdiction problem
- Sequential bounding methods for two-stage stochastic programs
- Tactical berth allocation under uncertainty
- A sequential sampling procedure for stochastic programming
- Forward thresholds for operation of pumped-storage stations in the real-time energy market
- SAA method based on modified Newton method for stochastic variational inequality with second-order cone constraints and application in portfolio optimization
- A two-stage approach to the orienteering problem with stochastic weights
- A sample average approximation method for disassembly line balancing problem under uncertainty
- On the scenario-tree optimal-value error for stochastic programming problems
- Stochastic programming analysis and solutions to schedule overcrowded operating rooms in China
- Scenario MIN-MAX optimization and the risk of empirical costs
- Optimization of industrial-scale assemble-to-order systems
- Chance-constrained programming models and approximations for general stochastic bottleneck spanning tree problems
- Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation
- Optimum beam design via stochastic programming
- Dynamic fleet scheduling with uncertain demand and customer flexibility
- Stochastic uncapacitated hub location
- Adaptive and nonadaptive approaches to statistically based methods for solving stochastic linear programs: a computational investigation
- An optimal method for stochastic composite optimization
- Sample average approximation of stochastic dominance constrained programs
- The impact of sampling methods on bias and variance in stochastic linear programs
- ASTRO-DF: a class of adaptive sampling trust-region algorithms for derivative-free stochastic optimization
- Suboptimal solution of one singular integral equation with perturbed operator based on probabilistic methods
- Optimization with reference-based robust preference constraints
- Non-asymptotic confidence bounds for the optimal value of a stochastic program
- Combining progressive hedging with a Frank-Wolfe method to compute Lagrangian dual bounds in stochastic mixed-integer programming
This page was built for publication: Monte Carlo bounding techniques for determinig solution quality in stochastic programs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1306368)