Monte Carlo bounding techniques for determining solution quality in stochastic programs.

Wai-Kei Mak David P. Morton R. Kevin Wood

Published in: Oper. Res. Lett. (1999)

Keyphrases

monte carlo
solution quality
simulated annealing
computational effort
computational efficiency
test problems
optimal solution
feasible solution

test instances
markov chain
importance sampling
monte carlo tree search
monte carlo methods
upper bound
monte carlo simulation
markovian decision

benchmark instances
adaptive sampling
particle filter
tabu search algorithm
distributed constraint optimization problems
point processes
learning algorithm
mathematical model

temporal difference
linear programming
least squares
game tree
lower bound
computational complexity
grasp with path relinking