Variance Reduction and Objective Function Evaluation in Stochastic Linear Programs.
Julia L. HiglePublished in: INFORMS J. Comput. (1998)
Keyphrases
- linear program
- objective function
- linear programming
- variance reduction
- stochastic programming
- optimal solution
- monte carlo
- gradient estimation
- simplex method
- convex functions
- stage stochastic programs
- mixed integer
- lower bound
- dynamic programming
- np hard
- extreme points
- primal dual
- simplex algorithm
- mixed integer linear program
- evaluation measures
- strongly polynomial
- importance sampling
- probabilistic model
- bias variance decomposition
- machine learning