Augmented Markov Chain Monte Carlo Simulation for Two-Stage Stochastic Programs with Recourse
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Publication:4691984
DOI10.1287/deca.2014.0303zbMath1398.91176OpenAlexW2102871013MaRDI QIDQ4691984
Tahir Ekin, Refik Soyer, Nicholas G. Polson
Publication date: 24 October 2018
Published in: Decision Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/deca.2014.0303
Decision theory (91B06) Monte Carlo methods (65C05) Stochastic programming (90C15) Numerical analysis or methods applied to Markov chains (65C40)
Related Items (5)
Augmented simulation methods for discrete stochastic optimization with recourse ⋮ A quasi-Monte-Carlo-based feasible sequential system of linear equations method for stochastic programs with recourse ⋮ Bayesian emulation for multi-step optimization in decision problems ⋮ Decision making under uncertain and dependent system rates in service systems ⋮ Augmented probability simulation methods for sequential games
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