Monte Carlo bounding techniques for determinig solution quality in stochastic programs
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Publication:1306368
DOI10.1016/S0167-6377(98)00054-6zbMATH Open0956.90022MaRDI QIDQ1306368FDOQ1306368
Authors: W.-K. Mak, David Morton, R. Kevin Wood 
Publication date: 18 March 2001
Published in: Operations Research Letters (Search for Journal in Brave)
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- Supplier selection and order allocation in CLSC configuration with various supply strategies under disruption risk
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- Analysis of stochastic dual dynamic programming method
- Level bundle-like algorithms for convex optimization
- The empirical likelihood approach to quantifying uncertainty in sample average approximation
- Solving multistage asset investment problems by the sample average approximation method
- Stochastically Constrained Ranking and Selection via SCORE
- Scenario MIN-MAX optimization and the risk of empirical costs
- Adaptive and nonadaptive approaches to statistically based methods for solving stochastic linear programs: a computational investigation
- Variance reduction in Monte Carlo sampling-based optimality gap estimators for two-stage stochastic linear programming
- The impact of sampling methods on bias and variance in stochastic linear programs
- CVaR minimization by the SRA algorithm
- Solving a class of stochastic mixed-integer programs with branch and price
- A two-stage approach to the orienteering problem with stochastic weights
- Validation analysis of mirror descent stochastic approximation method
- Stochastic programming approach to optimization under uncertainty
- A stochastic programming model for scheduling call centers with global service level agreements
- A sample average approximation approach to the berth allocation problem with uncertain tides
- Testing successive regression approximations by large-scale two-stage problems
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- A sample average approximation method for disassembly line balancing problem under uncertainty
- Optimality functions in stochastic programming
- Path-dependent scenario trees for multistage stochastic programmes in finance
- Adaptive multicut aggregation for two-stage stochastic linear programs with recourse
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- Mitigating Uncertainty via Compromise Decisions in Two-Stage Stochastic Linear Programming: Variance Reduction
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- SAA method based on modified Newton method for stochastic variational inequality with second-order cone constraints and application in portfolio optimization
- Assessing policy quality in a multistage stochastic program for long-term hydrothermal scheduling
- A stochastic programming approach for supply chain network design under uncertainty
- Convex approximations in stochastic programming by semidefinite programming
- The empirical behavior of sampling methods for stochastic programming
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- Fixed-width sequential stopping rules for a class of stochastic programs
- The expected loss in the discretization of multistage stochastic programming problems---estimation and convergence rate
- Sequential importance sampling algorithms for dynamic stochastic programming
- Simulation-based confidence bounds for two-stage stochastic programs
- A two-stage stochastic programming model for the parallel machine scheduling problem with machine capacity
- Stochastic programming analysis and solutions to schedule overcrowded operating rooms in China
- Supply chain design under uncertainty using sample average approximation and dual decomposition
- Short-term liner ship fleet planning with container transshipment and uncertain container shipment demand
- Sample average approximation for stochastic nonconvex mixed integer nonlinear programming via outer-approximation
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- Simulation-based approach to estimation of latent variable models
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- Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation
- Assessing solution quality in stochastic programs
- Bounds and approximations for multistage stochastic programs
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- Multi-modal cargo logistics distribution problem: decomposition of the stochastic risk-averse models
- Solving two-stage stochastic programming problems with level decomposition
- Quality evaluation of scenario-tree generation methods for solving stochastic programming problems
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- Bias, exploitation and proxies in scenario-based risk minimization
- On sample size control in sample average approximations for solving smooth stochastic programs
- Bundle-level type methods uniformly optimal for smooth and nonsmooth convex optimization
- Multi-period forecasting and scenario generation with limited data
- A capacitated lot sizing problem with stochastic setup times and overtime
- Confidence level solutions for stochastic programming
- Reformulation and sampling to solve a stochastic network interdiction problem
- Near optimal solutions to least-squares problems with stochastic uncertainty
- ASTRO-DF: a class of adaptive sampling trust-region algorithms for derivative-free stochastic optimization
- Minimax analysis of stochastic problems
- Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures
- Implementable algorithm for stochastic optimization using sample average approximations
- Developing childhood vaccine administration and inventory replenishment policies that minimize open vial wastage
- Overlapping batches for the assessment of solution quality in stochastic programs
- On sample average approximation for two-stage stochastic programs without relatively complete recourse
- Risk-averse two-stage stochastic program with distributional ambiguity
- Stochastic Decomposition for Two-Stage Stochastic Linear Programs with Random Cost Coefficients
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- Combining progressive hedging with a Frank-Wolfe method to compute Lagrangian dual bounds in stochastic mixed-integer programming
- Robust sample average approximation
- Statistics of robust optimization: a generalized empirical likelihood approach
- A long-term capacity expansion planning model for an electric power system integrating large-size renewable energy technologies
- Computational study of decomposition algorithms for mean-risk stochastic linear programs
- Managing congestion in a multi-modal transportation network under biomass supply uncertainty
- Shape constraints in economics and operations research
- Risk and complexity in scenario optimization
- Simulation-Based Optimality Tests for Stochastic Programs
- On the scenario-tree optimal-value error for stochastic programming problems
- Accelerated sample average approximation method for two-stage stochastic programming with binary first-stage variables
- Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure
- Optimum beam design via stochastic programming
- Sales and operations planning in systems with order configuration uncertainty
- Non-indexability of the stochastic appointment scheduling problem
- The value of the right distribution in stochastic programming with application to a Newsvendor problem
- A scalable bounding method for multistage stochastic programs
- Influence maximization with deactivation in social networks
- On rates of convergence for sample average approximations in the almost sure sense and in mean
- Predictive stochastic programming
- Sample average approximation under non-i.i.d. sampling for stochastic empty container repositioning problem
- Sequential bounding methods for two-stage stochastic programs
- On the safe side of stochastic programming: bounds and approximations
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