Variance Reduction and Objective Function Evaluation in Stochastic Linear Programs

DOI10.1287/IJOC.10.2.236zbMATH Open1034.90520OpenAlexW2160183615MaRDI QIDQ4427344FDOQ4427344

Authors: Julia L. Higle 

Publication date: 1998

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/ijoc.10.2.236

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Mathematics Subject Classification ID

Stochastic programming (90C15)

Cited In (13)

• Compromise policy for multi-stage stochastic linear programming: variance and bias reduction
• 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
• Mitigating Uncertainty via Compromise Decisions in Two-Stage Stochastic Linear Programming: Variance Reduction
• An empirical analysis of scenario generation methods for stochastic optimization
• 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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