Monte Carlo (importance) sampling within a Benders decomposition algorithm for stochastic linear programs
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Publication:1207838
DOI10.1007/BF02060936zbMath0773.90054OpenAlexW1981264388MaRDI QIDQ1207838
Publication date: 16 May 1993
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02060936
Monte Carlo samplingportfolio managementBenders decomposition techniquesexpansion planning of electric utilitieslarge-scale problems with numerous stochastic parameterstwo-stage stochastic linear programs with recourse
Applications of mathematical programming (90C90) Stochastic programming (90C15) Case-oriented studies in operations research (90B90) Computational methods for problems pertaining to operations research and mathematical programming (90-08)
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