Stratified filtered sampling in stochastic optimization

DOI10.1155/S117391260000002XMaRDI QIDQ1568373zbMATH OpenFDO

Authors Robert Rush, John M. Mulvey, John E. Mitchell, Thomas R. Willemain

Publication date 21 June 2000

Published in Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/121685

zbMATH Keywords

variance reductionstochastic optimizationperformance evaluationstratified sampling

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Stochastic programming (90C15)

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(5)

• Minimax number of strata for online stratified sampling: the case of noisy samples
• A multistage linear stochastic programming model for optimal corporate debt management
• Event tree based sampling
• Functional quantization-based stratified sampling methods
• Estimation of optimality gap using stratified sampling

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