Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach.
L. Jeff HongYi YangLiwei ZhangPublished in: Oper. Res. (2011)
Keyphrases
- monte carlo
- chance constrained
- computationally tractable
- stochastic programming
- robust optimization
- variance reduction
- markov chain
- importance sampling
- policy evaluation
- chance constrained programming
- monte carlo simulation
- knapsack problem
- chance constraints
- multistage
- reverse logistics
- particle filter
- monte carlo tree search
- convex optimization
- temporal difference
- optimal strategy
- evolutionary algorithm
- linear programming
- least squares
- np hard