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A Sequential Sampling Procedure for Stochastic Programming.
Güzin Bayraksan
David P. Morton
Published in:
Oper. Res. (2011)
Keyphrases
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stochastic programming
sampling procedure
multistage
random sampling
chance constrained
linear program
mean shift
asset liability management
robust optimization
sampling algorithm
machine learning
particle filter
hyperparameters
mathematical programming