On a multistage discrete stochastic optimization problem with stochastic constraints and nested sampling
We consider a multistage stochastic discrete program in which constraints on any stage might involve expectations that cannot be computed easily and are approximated by simulation. We study a sample average approximation (SAA) approach that uses nested sampling, in which at each stage, a number of s...
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Main Authors: | Thuy Anh Ta, Tien Mai, Fabian Bastin, Pierre L’Ecuyer |
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Format: | Bài trích |
Language: | eng |
Published: |
Mathematical Programming
2021
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Subjects: | |
Online Access: | https://link.springer.com/article/10.1007/s10107-020-01518-w https://dlib.phenikaa-uni.edu.vn/handle/PNK/2857 https://doi.org/10.1007/s10107-020-01518-w |
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