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Evaluating variance reduction techniques within a sample average approximation method for a constrained inventory policy optimization problem.

Yasin ÜnlüManuel D. Rossetti
Published in: WSC (2011)
Keyphrases
  • linear programming
  • convergence rate
  • variance reduction
  • dynamic programming
  • probabilistic model
  • combinatorial optimization
  • importance sampling
  • optimality conditions
  • sample average approximation