Augmented nested sampling for stochastic programs with recourse and endogenous uncertainty
From MaRDI portal
Publication:4632996
DOI10.1002/nav.21778zbMath1411.90236OpenAlexW2793190289MaRDI QIDQ4632996
Tahir Ekin, Refik Soyer, Nicholas G. Polson
Publication date: 2 May 2019
Published in: Naval Research Logistics (NRL) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/nav.21778
stochastic programmingdecision analysisendogenous uncertaintynested samplingaugmented probability simulation
Sampling theory, sample surveys (62D05) Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59) Markov and semi-Markov decision processes (90C40)
Related Items (6)
Augmented simulation methods for discrete stochastic optimization with recourse ⋮ Bayesian Stochastic Gradient Descent for Stochastic Optimization with Streaming Input Data ⋮ Decision making under uncertain and dependent system rates in service systems ⋮ A risk-averse newsvendor model under stochastic market price ⋮ Decision programming for mixed-integer multi-stage optimization under uncertainty ⋮ Augmented probability simulation methods for sequential games
This page was built for publication: Augmented nested sampling for stochastic programs with recourse and endogenous uncertainty
