Randomized methods based on new Monte Carlo schemes for control and optimization
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Publication:666376
DOI10.1007/S10479-009-0585-5zbMATH Open1233.90281OpenAlexW2150212266MaRDI QIDQ666376FDOQ666376
Boris T. Polyak, Elena Gryazina
Publication date: 8 March 2012
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-009-0585-5
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Cited In (7)
- An efficient algorithm for stochastic optimal control problems by means of a least-squares Monte-Carlo method
- Monte Carlo, Control Variates, and Stochastic Ordering
- Monte Carlo methods via a dual approach for some discrete time stochastic control problems
- Measuring exposure to dependence risk with random Bernstein copula scenarios
- Investigation of feasible and marginal operating regimes of electric power systems
- Random sampling: billiard walk algorithm
- A Quasi-Monte Carlo Method for Optimal Control Under Uncertainty
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