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Chance-constrained problems and rare events: an importance sampling approach.
Javiera Barrera
Tito Homem-de-Mello
Eduardo Moreno
Bernardo K. Pagnoncelli
Gianpiero Canessa
Published in:
Math. Program. (2016)
Keyphrases
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rare events
importance sampling
monte carlo
fraud detection
kalman filter
robust optimization
markov chain
class distribution
training data
particle filtering
distributed data
genetic algorithm
active learning
graphical models