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Stochastic programming by Monte Carlo simulation methods
15 references·4 citing·32 second hop
Stochastic programming by Monte Carlo simulation methods (1999)Stochastic programming by Monte Carlo sim…Introduction to Stochastic Programming (2011)Introduction to Stochastic Pr…Stochastic Programming (2010)Stochastic ProgrammingLinear Programming Under Uncertainty (2004)Linear Programming Under Unce…On the Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs (2000)On the Rate of Convergence of…Monte Carlo bounding techniques for determining solution quality in stochastic programs (1999)Monte Carlo bounding techniqu…A simulation-based approach to two-stage stochastic programming with recourse (1998)A simulation-based approach t…Sample-path optimization of convex stochastic performance functions (1996)Sample-path optimization of c…Analysis of Sample-Path Optimization (1996)Analysis of Sample-Path Optim…Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method (1995)Discrete Event Systems: Sensi…Stochastic Optimization by Simulation: Numerical Experiments with the M/M/1 Queue in Steady-State (1994)Stochastic Optimization by Si…Optimization of Queues Using an Infinitesimal Perturbation Analysis-Based Stochastic Algorithm with General Update Times (1993)Optimization of Queues Using …Planning under uncertainty solving large-scale stochastic linear programs (1992)Planning under uncertainty so…Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse (1991)Stochastic Decomposition: An …Asymptotic analysis of stochastic programs (1991)Asymptotic analysis of stocha…Stochastic Approximation Methods for Constrained and Unconstrained Systems (1978)Stochastic Approximation Meth…An effective approach for optimization of a perishable inventory system with uncertainty in both demand and supply (2020)An effective approach for opt…Fault trees analysis using expert opinion based on fuzzy‐bathtub failure rates (2018)Fault trees analysis using ex…Discrete–continuous variable structural optimization of systems under stochastic loading (2010)Discrete–continuous variable …Conditioning of convex piecewise linear stochastic programs (2002)Conditioning of convex piecew…Numerical Techniques for Stochastic Optimization (1988)Stability of Stochastic Programming Problems (2003)Stochastic programming approach to optimization under uncertainty (2007)Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach (2021)Linear Programming under Uncertainty (1955)Monte Carlo sampling-based methods for stochastic optimization (2014)Robust Stochastic Optimization Made Easy with RSOME (2020)Simulation Modeling and Analysis. (1983)Inventory management and production planning and scheduling (1999)Scenarios for Multistage Stochastic Programs (2000)Proceedings of the 2002 Winter Simulation Conference (2002)The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)Evaluation of scenario-generation methods for stochastic programming (2003)Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs (1985)Scenarios and Policy Aggregation in Optimization Under Uncertainty (1991)The empirical behavior of sampling methods for stochastic programming (2006)A unified framework for stochastic optimization (2018)Gradient Estimation via Perturbation Analysis (1991)Optimization via simulation: A review (1994)A Guide to Sample Average Approximation (2014)Chance-Constrained Programming (1959)Robust solutions of uncertain linear programs (1999)Lectures on Stochastic Programming: Modeling and Theory (2009)Conditional value-at-risk for general loss distributions (2002)Theory and Applications of Robust Optimization (2010)Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion (2010)Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints (1963)Optimization under uncertainty: state-of-the-art and opportunities (2003)A two-stage stochastic programming framework for transportation planning in disaster response (2004)Convergence of least squares learning mechanisms in self-referential linear stochastic models (1989)Simulation Budget Allocation for Further Enhancing the Efficiency of Ordinal Optimization (2000)Monte Carlo Sampling Methods (2003)
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References

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  • 2010Stochastic Programming2,228 cited
  • 1978Stochastic Approximation Methods for Constrained and Unconstrained Systems1,459 cited
  • 2004Linear Programming Under Uncertainty1,173 cited
  • 1999Monte Carlo bounding techniques for determining solution quality in stochastic programs705 cited
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  • 1995Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method383 cited
  • 1998A simulation-based approach to two-stage stochastic programming with recourse290 cited
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  • 1993Optimization of Queues Using an Infinitesimal Perturbation Analysis-Based Stochastic Algorithm with General Update Times

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  • 2002Conditioning of convex piecewise linear stochastic programs67 cited
  • 2020An effective approach for optimization of a perishable inventory system with uncertainty in both demand and supply22 cited
  • 2018Fault trees analysis using expert opinion based on fuzzy‐bathtub failure rates19 cited
  • 2010Discrete–continuous variable structural optimization of systems under stochastic loading15 cited