Nonlinear stochastic programming by Monte-Carlo estimators.
Leonidas SakalauskasPublished in: Eur. J. Oper. Res. (2002)
Keyphrases
- monte carlo
- stochastic programming
- multistage
- variance reduction
- chance constrained
- linear program
- markov chain
- conditional density estimation
- monte carlo simulation
- policy evaluation
- asset liability management
- importance sampling
- monte carlo methods
- confidence intervals
- adaptive sampling
- robust optimization
- matrix inversion
- monte carlo tree search
- point processes
- dynamic programming
- optimal strategy
- sample size
- objective function
- markovian decision