Importance sampling for stochastic programming
Stochastic programming models are large-scale optimization problems that are used to facilitate decision-making under uncertainty. Optimization algorithms for such problems need to evaluate the exptected future costs of current decisions, often referred to as the recourse function. In practice, this...
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Imperial College London
2016
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.700721 |