MG/OPT and Multilevel Monte Carlo for Robust Optimization of PDEs.

Andreas Van Barel Stefan Vandewalle

Published in: SIAM J. Optim. (2021)

Keyphrases

monte carlo
robust optimization
mathematical programming
markov chain
importance sampling
monte carlo tree search
monte carlo simulation
particle filter
markovian decision
lot sizing
traveling salesman problem
semidefinite programming
feature space
optimal strategy