Augmented Markov Chain Monte Carlo Simulation for Two-Stage Stochastic Programs with Recourse

DOI10.1287/deca.2014.0303zbMath1398.91176MaRDI QIDQ4691984

Tahir Ekin, Refik Soyer, Nicholas G. Polson

Publication date: 24 October 2018

Published in: Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/deca.2014.0303

zbMATH Keywords

optimization; Markov chain Monte Carlo; decision analysis; dynamic decision making; math programming

Mathematics Subject Classification ID

91B06: Decision theory

65C05: Monte Carlo methods

90C15: Stochastic programming

65C40: Numerical analysis or methods applied to Markov chains

Related Items

Bayesian emulation for multi-step optimization in decision problems, A quasi-Monte-Carlo-based feasible sequential system of linear equations method for stochastic programs with recourse

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