Variance reduction in sample approximations of stochastic programs
From MaRDI portal
Publication:2487848
Recommendations
- Variance reduction for sequential sampling in stochastic programming
- Variance reduction in Monte Carlo sampling-based optimality gap estimators for two-stage stochastic linear programming
- Sample average approximation of expected value constrained stochastic programs
- Variance Reduction and Objective Function Evaluation in Stochastic Linear Programs
- On the convergence of sample approximations for stochastic programming problems with probabilistic criteria
- The empirical behavior of sampling methods for stochastic programming
- Approximation of stochastic programming problems
- Variable-sample methods for stochastic optimization
- Stochastic Approximation Approaches to the Stochastic Variational Inequality Problem
- Efficient sample sizes in stochastic nonlinear programming
Cites work
- Algorithm 647: Implementation and Relative Efficiency of Quasirandom Sequence Generators
- Discrépance de suites associées à un système de numération (en dimension s)
- Epi-convergent discretizations of stochastic programs via integration quadratures
- scientific article; zbMATH DE number 3815002 (Why is no real title available?)
- scientific article; zbMATH DE number 53679 (Why is no real title available?)
- scientific article; zbMATH DE number 1354815 (Why is no real title available?)
- scientific article; zbMATH DE number 1790438 (Why is no real title available?)
- scientific article; zbMATH DE number 823368 (Why is no real title available?)
- scientific article; zbMATH DE number 914714 (Why is no real title available?)
- scientific article; zbMATH DE number 3893867 (Why is no real title available?)
- scientific article; zbMATH DE number 222646 (Why is no real title available?)
- scientific article; zbMATH DE number 236854 (Why is no real title available?)
- Inference of statistical bounds for multistage stochastic programming problems
- Low-discrepancy and low-dispersion sequences
- Mersenne twister
- Monte Carlo (importance) sampling within a Benders decomposition algorithm for stochastic linear programs
- Monte Carlo methods for security pricing
- MONTE CARLO METHODS FOR SOLVING MULTIVARIABLE PROBLEMS
- On the distribution of points in a cube and the approximate evaluation of integrals
- On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
- On the epiconvergence of stochastic optimization problems.
- On the use of low discrepancy sequences in Monte Carlo methods
- Randomization of Number Theoretic Methods for Multiple Integration
- Scenario generation and stochastic programming models for asset liability management
- Stability Results for Stochastic Programs and Sensors, Allowing for Discontinuous Objective Functions
- The effective dimension and quasi-Monte Carlo integration
- Uniform convergence of probability measures: Topological criteria
- Variance Reduction and Objective Function Evaluation in Stochastic Linear Programs
- Variance reduction via lattice rules
- Variational Analysis
Cited in
(27)- Convergent bounds for stochastic programs with expected value constraints
- Quality evaluation of scenario-tree generation methods for solving stochastic programming problems
- Two-stage linear decision rules for multi-stage stochastic programming
- Consistency of statistical estimators of solutions to stochastic optimization problems
- Importance sampling in stochastic optimization: an application to intertemporal portfolio choice
- Quasi-Monte Carlo methods for two-stage stochastic mixed-integer programs
- Variance reduction for sequential sampling in stochastic programming
- Quasi-Monte Carlo methods for linear two-stage stochastic programming problems
- Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?
- A probability metrics approach for reducing the bias of optimality gap estimators in two-stage stochastic linear programming
- Financial scenario generation for stochastic multi-stage decision processes as facility location problems
- Barzilai–Borwein method with variable sample size for stochastic linear complementarity problems
- Variance reduction in Monte Carlo sampling-based optimality gap estimators for two-stage stochastic linear programming
- Reformulation and sampling to solve a stochastic network interdiction problem
- An empirical analysis of scenario generation methods for stochastic optimization
- On the scenario-tree optimal-value error for stochastic programming problems
- Importance sampling in stochastic programming: a Markov chain Monte Carlo approach
- Solving ALM problems via sequential stochastic programming
- Bound-based decision rules in multistage stochastic programming
- On Rates of Convergence for Stochastic Optimization Problems Under Non–Independent and Identically Distributed Sampling
- The impact of sampling methods on bias and variance in stochastic linear programs
- Variance Reduction and Objective Function Evaluation in Stochastic Linear Programs
- Generic consistency for approximate stochastic programming and statistical problems
- Multi-period descriptive sampling for scenario generation applied to the stochastic capacitated lot-sizing problem
- General inertial proximal stochastic variance reduction gradient for nonconvex nonsmooth optimization
- Randomized quasi-Monte Carlo methods for risk-averse stochastic optimization
- Stochastic programming approach to optimization under uncertainty
This page was built for publication: Variance reduction in sample approximations of stochastic programs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2487848)
