Compromise policy for multi-stage stochastic linear programming: Variance and bias reduction.
Jiajun XuSuvrajeet SenPublished in: Comput. Oper. Res. (2023)
Keyphrases
- multistage
- linear programming
- stochastic programming
- optimal policy
- dynamic programming
- stochastic optimization
- low variance
- variance reduction
- control policies
- linear program
- assembly systems
- state dependent
- bias variance decomposition
- finite horizon
- monte carlo
- single stage
- production system
- trade off
- bias variance
- average cost
- lot sizing
- infinite horizon
- optimal solution
- objective function
- markov decision processes
- finite state
- knapsack problem
- state space
- asymptotically optimal
- mathematical programming
- periodic review
- attack detection
- np hard
- reinforcement learning
- stochastic process
- markov decision process
- long run
- lot streaming