Application of the Monte-Carlo method to stochastic linear programming

zbMATH Open1113.90111MaRDI QIDQ3447252FDOQ3447252

Authors: Leonidas Sakalauskas, Kȩstutis Žilinskas 

Publication date: 28 June 2007

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Mathematics Subject Classification ID

Monte Carlo methods (65C05) Linear programming (90C05) Stochastic programming (90C15)

Cited In (11)

• Computational behavior of a feasible direction method for linear programming
• Nonlinear stochastic optimization by the Monte-Carlo method
• Joint application of the Monte Carlo method and computational probabilistic analysis in problems of numerical modeling with data uncertainties
• Monte Carlo (importance) sampling within a Benders decomposition algorithm for stochastic linear programs
• Randomized Algorithms for Semi-Infinite Programming Problems
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• Nonlinear stochastic programming by Monte-Carlo estimators
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• A method of accelerated statistical simulation and its application in the problems with inherent error
• On the rate of convergence of optimal solutions of Monte Carlo approximations of stochastic programs
• Solving a class of convex stochastic programs via Monte Carlo simulation

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