Stopping Rules for a Class of Sampling-Based Stochastic Programming Algorithms

DOI10.1287/opre.46.5.710zbMath0979.90093OpenAlexW2118287502MaRDI QIDQ2770101

David P. Morton

Publication date: 7 February 2002

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/6ae5ff39032eba86ce844fac0196f74771e7513d

zbMATH Keywords

stopping rulestochastic programsMonte Carlo sampling-based algorithms

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (4)

Importance Sampling in Stochastic Programming: A Markov Chain Monte Carlo Approach ⋮ Assessing policy quality in a multistage stochastic program for long-term hydrothermal scheduling ⋮ Stochastic dual dynamic programming applied to nonconvex hydrothermal models ⋮ On level regularization with normal solutions in decomposition methods for multistage stochastic programming problems

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