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EVPI-based importance sampling solution proceduresfor multistage stochastic linear programmeson parallel MIMD architectures.
M. A. H. Dempster
R. T. Thompson
Published in:
Ann. Oper. Res. (1999)
Keyphrases
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multistage stochastic
importance sampling
linear program
portfolio selection
integer program
multistage
stochastic programming
capacity expansion
monte carlo
cutting plane
closed form
particle filter
shared memory
kalman filter
approximate inference
markov chain monte carlo
genetic algorithm
network flow
mathematical programming
integer programming
model selection
np hard