A simulation-based approach to two-stage stochastic programming with recourse

DOI10.1007/BF01580086zbMath0919.90120OpenAlexW1994377487MaRDI QIDQ1290606

Alexander Shapiro, Tito Homem-de-mello

Publication date: 3 June 1999

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01580086

zbMATH Keywords

confidence intervalsMonte Carlo simulationlikelihood ratiosstatistical inferencehypotheses testingvariance reduction techniquestwo-stage stochastic programming with recourseexpected value functionvalidation analysisvalidation of optimality

Mathematics Subject Classification ID

Stochastic programming (90C15)

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