Importance sampling in stochastic optimization: An application to intertemporal portfolio choice.

Jonas Ekblom Jörgen Blomvall

Published in: Eur. J. Oper. Res. (2020)

Keyphrases

stochastic optimization
importance sampling
monte carlo
markov chain
multistage
kalman filter
particle filtering
particle filter
approximate inference
robust optimization
decision making
pairwise
posterior distribution
markov chain monte carlo