Variance Reduction and Objective Function Evaluation in Stochastic Linear Programs
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Publication:4427344
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- Simulation-Based Optimality Tests for Stochastic Programs
- Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure
- Variance reduction in Monte Carlo sampling-based optimality gap estimators for two-stage stochastic linear programming
- Variance reduction for sequential sampling in stochastic programming
- The impact of sampling methods on bias and variance in stochastic linear programs
- An empirical analysis of scenario generation methods for stochastic optimization
- Mitigating Uncertainty via Compromise Decisions in Two-Stage Stochastic Linear Programming: Variance Reduction
- Event tree based sampling
- The empirical behavior of sampling methods for stochastic programming
- Importance sampling in stochastic programming: a Markov chain Monte Carlo approach
- 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
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