Related references
Note: Only part of the references are listed.ON SAMPLING RATES IN SIMULATION-BASED RECURSIONS
Raghu Pasupathy et al.
SIAM JOURNAL ON OPTIMIZATION (2018)
Optimization Methods for Large-Scale Machine Learning
Leon Bottou et al.
SIAM REVIEW (2018)
Adaptive Partition-Based Level Decomposition Methods for Solving Two-Stage Stochastic Programs with Fixed Recourse
Wim van Ackooij et al.
INFORMS JOURNAL ON COMPUTING (2018)
ASTRO-DF: A CLASS OF ADAPTIVE SAMPLING TRUST-REGION ALGORITHMS FOR DERIVATIVE-FREE STOCHASTIC OPTIMIZATION
Sara Shashaani et al.
SIAM JOURNAL ON OPTIMIZATION (2018)
ADAPTIVE SAMPLING STRATEGIES FOR STOCHASTIC OPTIMIZATION
Raghu Bollapragada et al.
SIAM JOURNAL ON OPTIMIZATION (2018)
Variance reduction in Monte Carlo sampling-based optimality gap estimators for two-stage stochastic linear programming
Rebecca Stockbridge et al.
COMPUTATIONAL OPTIMIZATION AND APPLICATIONS (2016)
Mitigating Uncertainty via Compromise Decisions in Two-Stage Stochastic Linear Programming: Variance Reduction
Suvrajeet Sen et al.
OPERATIONS RESEARCH (2016)
Scenario generation for stochastic optimization problems via the sparse grid method
Michael Chen et al.
COMPUTATIONAL OPTIMIZATION AND APPLICATIONS (2015)
Improving the performance of Stochastic Dual Dynamic Programming
Vitor L. de Matos et al.
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS (2015)
Applying oracles of on-demand accuracy in two-stage stochastic programming - A computational study
Christian Wolf et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2014)
Level bundle methods for oracles with on-demand accuracy
W. de Oliveira et al.
OPTIMIZATION METHODS & SOFTWARE (2014)
Integer-Ordered Simulation Optimization using R-SPLINE: Retrospective Search with Piecewise-Linear Interpolation and Neighborhood Enumeration
Honggang Wang et al.
ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION (2013)
On sample size control in sample average approximations for solving smooth stochastic programs
Johannes O. Royset
COMPUTATIONAL OPTIMIZATION AND APPLICATIONS (2013)
Simulation-based confidence bounds for two-stage stochastic programs
Peter W. Glynn et al.
MATHEMATICAL PROGRAMMING (2013)
Optimal Budget Allocation for Sample Average Approximation
Johannes O. Royset et al.
OPERATIONS RESEARCH (2013)
FIXED-WIDTH SEQUENTIAL STOPPING RULES FOR A CLASS OF STOCHASTIC PROGRAMS
Guezin Bayraksan et al.
SIAM JOURNAL ON OPTIMIZATION (2012)
Testing successive regression approximations by large-scale two-stage problems
Istvan Deak
ANNALS OF OPERATIONS RESEARCH (2011)
A Sequential Sampling Procedure for Stochastic Programming
Guezin Bayraksan et al.
OPERATIONS RESEARCH (2011)
SELF-CONCORDANCE AND DECOMPOSITION-BASED INTERIOR POINT METHODS FOR THE TWO-STAGE STOCHASTIC CONVEX OPTIMIZATION PROBLEM
Michael Chen et al.
SIAM JOURNAL ON OPTIMIZATION (2011)
On Choosing Parameters in Retrospective-Approximation Algorithms for Stochastic Root Finding and Simulation Optimization
Raghu Pasupathy
OPERATIONS RESEARCH (2010)
Efficient sample sizes in stochastic nonlinear programming
E. Polak et al.
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS (2008)
A randomized quasi-Monte Carlo simulation method for Markov chains
Pierre L'Ecuyer et al.
OPERATIONS RESEARCH (2008)
A SAMPLE APPROXIMATION APPROACH FOR OPTIMIZATION WITH PROBABILISTIC CONSTRAINTS
James Luedtke et al.
SIAM JOURNAL ON OPTIMIZATION (2008)
Solving two-stage stochastic programming problems with level decomposition
Csaba I. Fabian et al.
COMPUTATIONAL MANAGEMENT SCIENCE (2007)
Assessing solution quality in stochastic programs
Guezin Bayraksan et al.
MATHEMATICAL PROGRAMMING (2006)
The multilocation transshipment problem
YT Herer et al.
IIE TRANSACTIONS (2006)
On a new collection of stochastic linear programming test problems
KA Ariyawansa et al.
INFORMS JOURNAL ON COMPUTING (2004)
A Log-Barrier method with Benders decomposition for solving two-stage stochastic linear programs
GY Zhao
MATHEMATICAL PROGRAMMING (2001)
On the rate of convergence of optimal solutions of Monte Carlo approximations of stochastic programs
A Shapiro et al.
SIAM JOURNAL ON OPTIMIZATION (2000)