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Solving Bayesian risk optimization via nested stochastic gradient estimation.

Sait CakmakDi WuEnlu Zhou
Published in: IISE Trans. (2021)
Keyphrases
  • gradient estimation
  • monte carlo sampling
  • stochastic programming
  • variance reduction
  • bayesian networks
  • optimization problems
  • markov decision processes
  • chance constraints
  • decision trees