The empirical behavior of sampling methods for stochastic programming.

Jeff T. Linderoth Alexander Shapiro Stephen J. Wright

Published in: Ann. Oper. Res. (2006)

Keyphrases

stochastic programming
sampling methods
multistage
chance constrained
linear program
random sampling
asset liability management
class imbalance
np hard
linear programming
robust optimization
machine learning
state space
combinatorial optimization
high dimensionality
original data