EVPI-based importance sampling solution proceduresfor multistage stochastic linear programmeson parallel MIMD architectures.
M. A. H. DempsterR. T. ThompsonPublished in: Ann. Oper. Res. (1999)
Keyphrases
- 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