Variance reduction in Monte Carlo sampling-based optimality gap estimators for two-stage stochastic linear programming.
Rebecca StockbridgeGüzin BayraksanPublished in: Comput. Optim. Appl. (2016)
Keyphrases
- variance reduction
- monte carlo
- linear programming
- linear program
- optimal solution
- importance sampling
- adaptive sampling
- markov chain
- policy evaluation
- quasi monte carlo
- dynamic programming
- np hard
- particle filter
- confidence intervals
- temporal difference
- objective function
- monte carlo tree search
- markov chain monte carlo
- conditional density estimation
- upper bound
- lower bound
- supervised learning