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Importance sampling in stochastic programming: a Markov chain Monte Carlo approach
- Source :
- INFORMS Journal on Computing. March 22, 2015, p358, 20 p.
- Publication Year :
- 2015
-
Abstract
- 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 expected future costs of current [...]
Details
- Language :
- English
- ISSN :
- 10919856
- Database :
- Gale General OneFile
- Journal :
- INFORMS Journal on Computing
- Publication Type :
- Academic Journal
- Accession number :
- edsgcl.418844747
- Full Text :
- https://doi.org/10.1287/ijoc.2014.0630