Variance reduction for sequential sampling in stochastic programming.
Jangho ParkRebecca StockbridgeGüzin BayraksanPublished in: Ann. Oper. Res. (2021)
Keyphrases
- variance reduction
- stochastic programming
- sample size
- multistage
- monte carlo
- chance constrained
- importance sampling
- linear program
- gradient estimation
- robust optimization
- asset liability management
- bias variance decomposition
- naive bayes classifier
- random sampling
- confidence intervals
- stability of feature selection
- markov chain
- approximate inference