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Confidence level solutions for stochastic programming · Study

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ArticleConfidence level solutions for stochastic programming

Yurii E. Nesterov2008

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Articlegreen2008

Confidence level solutions for stochastic programming

Yurii E. Nesterov · Jean-Philippe Vial

76 citations·0/0 files stored·Automatica

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Risk and Portfolio Optimization Advanced Control Systems Optimization Stochastic Gradient Optimization Techniques

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References

2011Introduction to Stochastic Programming 1998Introduction to Stochastic Programming 2004Linear Programming Under Uncertainty 1999Monte Carlo bounding techniques for determining solution quality in stochastic programs 1991Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse 2006On Complexity of Stochastic Programming Problems 1998A simulation-based approach to two-stage stochastic programming with recourse 2000On the Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs

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Year2008

Typearticle

Published2008-04-18

VenueAutomatica

ISSN-L0005-1098

Languageen

Citations76

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.automatica.2008.01.017

openalex_workW1980412153

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