Quicker Convergence for Iterative Numerical Solutions to Stochastic Problems: Probabilistic Interpretations, Ordering Heuristics, and Parallel Processing

DOI10.1017/S0269964800001790zbMath1134.60337OpenAlexW2106042406MaRDI QIDQ3415988

Robert J. Vanderbei, Albert G. Greenberg

Publication date: 19 January 2007

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964800001790

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Numerical methods for mathematical programming, optimization and variational techniques (65K99)

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