Monte Carlo (importance) sampling within a benders decomposition algorithm for stochastic linear programs.
Gerd InfangerPublished in: Ann. Oper. Res. (1992)
Keyphrases
- decomposition algorithm
- monte carlo
- linear program
- importance sampling
- linear programming
- decomposition method
- markov chain
- mixed integer
- optimal solution
- objective function
- dynamic programming
- monte carlo methods
- np hard
- variance reduction
- markov chain monte carlo
- model selection
- particle filter
- recognition algorithm
- state space
- bayesian networks