Importance Sampling in Stochastic Programming: A Markov Chain Monte Carlo Approach
From MaRDI portal
Publication:3466780
DOI10.1287/ijoc.2014.0630zbMath1329.90095OpenAlexW2002946775MaRDI QIDQ3466780
Panos Parpas, Berk Ustun, Mort Webster, Quang Kha Tran
Publication date: 25 January 2016
Published in: INFORMS Journal on Computing (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10044/1/23338
stochastic optimizationstochastic programmingMonte Carloimportance samplingMarkov chain Monte Carlovariance reductionkernel density estimationnonparametricBenders' decompositioncutting plane algorithms
Related Items (12)
On the impact of deep learning-based time-series forecasts on multistage stochastic programming policies ⋮ Chance-constrained problems and rare events: an importance sampling approach ⋮ Stochastic Dual Dynamic Programming for Multiechelon Lot Sizing with Component Substitution ⋮ Importance sampling in stochastic optimization: an application to intertemporal portfolio choice ⋮ Acceleration on Adaptive Importance Sampling with Sample Average Approximation ⋮ Markov chain Monte Carlo approach to the analysis of response patterns in data collection process ⋮ Multistage stochastic fractionated intensity modulated radiation therapy planning ⋮ Augmented simulation methods for discrete stochastic optimization with recourse ⋮ Importance sampling correction versus standard averages of reversible MCMCs in terms of the asymptotic variance ⋮ Efficient solution selection for two-stage stochastic programs ⋮ Scalable, Adaptable, and Fast Estimation of Transient Downtime in Virtual Infrastructures Using Convex Decomposition and Sample Path Randomization ⋮ SDDP.jl: A Julia Package for Stochastic Dual Dynamic Programming
Uses Software
Cites Work
- Unnamed Item
- Chance-constrained problems and rare events: an importance sampling approach
- Analysis of stochastic dual dynamic programming method
- Parallel processors for planning under uncertainty
- On a time consistency concept in risk averse multistage stochastic programming
- General state space Markov chains and MCMC algorithms
- Multi-stage stochastic optimization applied to energy planning
- Monte Carlo (importance) sampling within a Benders decomposition algorithm for stochastic linear programs
- A simulation-based approach to two-stage stochastic programming with recourse
- Scenario reduction in stochastic programming
- Epi-convergent discretizations of stochastic programs via integration quadratures
- Introduction to rare event simulation.
- On bandwidth choice for density estimation with dependent data
- Variance reduction in sample approximations of stochastic programs
- The empirical behavior of sampling methods for stochastic programming
- Stochastic simulation: Algorithms and analysis
- Stopping Rules for a Class of Sampling-Based Stochastic Programming Algorithms
- On a New Collection of Stochastic Linear Programming Test Problems
- Computational Assessment of Nested Benders and Augmented Lagrangian Decomposition for Mean-Variance Multistage Stochastic Problems
- Scalable Heuristics for a Class of Chance-Constrained Stochastic Programs
- A Sequential Sampling Procedure for Stochastic Programming
- Scenarios and Policy Aggregation in Optimization Under Uncertainty
- On Rates of Convergence for Stochastic Optimization Problems Under Non–Independent and Identically Distributed Sampling
- Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
- Nonparametric Importance Sampling
- Variance Reduction and Objective Function Evaluation in Stochastic Linear Programs
- Fixed-Width Sequential Stopping Rules for a Class of Stochastic Programs
- Computationally Efficient Nonparametric Importance Sampling
- Parallel Processing and Applied Mathematics
- An adaptive Metropolis algorithm
This page was built for publication: Importance Sampling in Stochastic Programming: A Markov Chain Monte Carlo Approach
