Variance reduction in Monte Carlo sampling-based optimality gap estimators for two-stage stochastic linear programming
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Publication:288402
DOI10.1007/S10589-015-9814-9zbMATH Open1342.90119DBLPjournals/coap/StockbridgeB16OpenAlexW2298876865WikidataQ57500065 ScholiaQ57500065MaRDI QIDQ288402FDOQ288402
Authors: Rebecca Stockbridge, Güzin Bayraksan 
Publication date: 25 May 2016
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10589-015-9814-9
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Monte Carlo samplingLatin hypercube samplingvariance reductiontwo-stage stochastic programmingantithetic variatesoptimality gap estimation
Cites Work
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Cited In (8)
- Variance Reduction and Objective Function Evaluation in Stochastic Linear Programs
- Variance reduction for sequential sampling in stochastic programming
- The impact of sampling methods on bias and variance in stochastic linear programs
- An improved averaged two-replication procedure with Latin hypercube sampling
- Mitigating Uncertainty via Compromise Decisions in Two-Stage Stochastic Linear Programming: Variance Reduction
- A probability metrics approach for reducing the bias of optimality gap estimators in two-stage stochastic linear programming
- Variance reduction in sample approximations of stochastic programs
- Adaptive sequential sample average approximation for solving two-stage stochastic linear programs
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