Sequential importance sampling algorithms for dynamic stochastic programming

DOI10.1007/S10958-006-0058-1MaRDI QIDQ2567700zbMATH OpenOpenAlexFDO

Authors M. A. H. Dempster

Publication date 11 October 2005

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/226387

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic programming (90C15)

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Cited in

(12)

• Importance sampling in stochastic optimization: an application to intertemporal portfolio choice
• An anytime multistep anticipatory algorithm for online stochastic combinatorial optimization
• Stochastic Dynamic Linear Programming: A Sequential Sampling Algorithm for Multistage Stochastic Linear Programming
• Optimal annuity portfolio under inflation risk
• Comparison of Sampling Methods for Dynamic Stochastic Programming
• Optimal power flow in distribution networks under \(N- 1\) disruptions: a multistage stochastic programming approach
• Monte Carlo (importance) sampling within a Benders decomposition algorithm for stochastic linear programs
• Amsaa: A Multistep Anticipatory Algorithm for Online Stochastic Combinatorial Optimization
• Event tree based sampling
• Stochastic optimization of electricity portfolios: scenario tree modeling and risk management
• A stochastic integer programming approach to air traffic scheduling and operations
• On stochastic programming ii: dynamic problems under risk^∗

Describes a project that uses

Uses Software

• EVPI
• MSLiP

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