A Critical Note on Empirical (Sample Average, Monte Carlo) Approximation of Solutions to Chance Constrained Programs.
René HenrionPublished in: System Modelling and Optimization (2011)
Keyphrases
- monte carlo
- chance constrained
- markovian decision
- importance sampling
- confidence intervals
- markov chain
- stochastic programming
- variance reduction
- adaptive sampling
- robust optimization
- monte carlo tree search
- knapsack problem
- computationally tractable
- particle filter
- optimal strategy
- multistage
- genetic algorithm
- optimal solution
- chance constrained programming
- chance constraints
- dynamic programming
- optimization problems
- approximation algorithms
- benchmark problems
- sample size