Variance Reduction and Objective Function Evaluation in Stochastic Linear Programs

References

• Andradottir S. , Heyman D. P. , Ott T. J. On the Choice of Alternative Measures in Importance Sampling with Markov Chains. Operations Research (1995) 43 509 519 Link, Google Scholar
• Bratley P. , Fox B. L. , Schrage L. E. A Guide to Simulation (1987) (Springer-Verlag, Berlin) Crossref, Google Scholar
• Dantzig G. B. , Glynn P. W. Parallel Processors for Planning under Uncertainty. Annals of Operations Research (1990) 22 1 21 Crossref, Google Scholar
• Ermoliev Y. , Ermoliev Y. , Wets R. J.-B. Stochastic Quasigradient Methods. Numerical Techniques for Stochastic Optimization (1988) (Springer Verlag, Berlin) Crossref, Google Scholar
• Frauendorfer K. Stochastic Two-Stage Programming (1993) (Springer-Verlag, Berlin) Google Scholar
• Gartska S. , Ruthenberg D. Computations in Discrete Stochastic Programs with Recourse. Operations Research (1973) 21 112 122 Link, Google Scholar
• Haugland D. , Wallace S. W. Solving Many Linear Programs that Differ Only in the Righthand Side. European Journal of Operational Research (1988) 37 318 324 Crossref, Google Scholar
• Higle J. L. , Sen S. Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse. Mathematics of Operations Research (1991) 16 650 669 Link, Google Scholar
• Higle J. L. , Sen S. Finite Master Programs in Regularized Stochastic Decomposition. Mathematical Programming (1994) 67 143 168 Crossref, Google Scholar
• Higle J. L. , Sen S. Stochastic Decomposition: A Statistical Method for Large Scale Stochastic Linear Programming (1996) (Kluwer Academic Publishers, Boston, MA) Crossref, Google Scholar
• Infanger G. Monte Carlo (importance) Sampling within a Benders' Decomposition for Stochastic Linear Programs. Annals of Operations Research (1992) 39 69 95 Crossref, Google Scholar
• Louveaux F. V. , Smeers Y. , Ermoliev Y. , Wets R. J.-B. Optimal investments for electricity generation: A stochastic model and test problem. Numerical Techniques for Stochastic Optimization (1988) (Springer-Verlag, Berlin) 445 454 Crossref, Google Scholar
• Morton D. A Sampling-Based Algorithm for Two Stage Stochastic Programming. (1994) . presented at the 15th Internat. Sympos. Math. Programming, Ann Arbor, MI, August 1994 Google Scholar
• Mulvey J. M. , Ruszczyński A. A New Scenario Decomposition Method for Large-Scale Stochastic Optimization. Operations Research (1995) 43 477 490 Link, Google Scholar
• Ruszczyński A. A Linearization Method for Nonsmooth Stochastic Programming Problems. Mathematics of Operations Research (1987) 12 32 49 Link, Google Scholar
• Ruszczyński A. Regularized Decomposition of Stochastic Programs: Algorithmic Techniques and Numerical Results. (1993) . Working paper WP-93-21, International Institute for Applied System Analysis, Laxenburg, Austria Google Scholar
• Sen S. , Doverspike R. D. , Cosares S. Network Planning with Random Demand. Telecommunications Systems (1994) 3 11 30 Crossref, Google Scholar
• Shapiro A. , Homem-de-Mello T. A Simulation Approach to Two-Stage Stochastic Programming with Recourse. (1996) . Technical report, School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia Google Scholar
• Wets R. J.-B. Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Problem. SIAM Review (1974) 16 309 339 Crossref, Google Scholar