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检索条件"主题词=Sample average approximation method"
25 条 记 录,以下是21-30 订阅
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Analysis of stochastic dual dynamic programming method
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EUROPEAN JOURNAL OF OPERATIONAL RESEARCH 2011年 第1期209卷 63-72页
作者: Shapiro, Alexander Georgia Inst Technol Sch Ind & Syst Engn Atlanta GA 30332 USA
In this paper we discuss statistical properties and convergence of the Stochastic Dual Dynamic Programming (SDDP) method applied to multistage linear stochastic programming problems. We assume that the underline data ... 详细信息
来源: 评论
ROBUST STOCHASTIC approximation APPROACH TO STOCHASTIC PROGRAMMING
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SIAM JOURNAL ON OPTIMIZATION 2009年 第4期19卷 1574-1609页
作者: Nemirovski, A. Juditsky, A. Lan, G. Shapiro, A. Georgia Inst Technol Atlanta GA 30332 USA Univ Grenoble 1 F-38041 Grenoble 9 France
In this paper we consider optimization problems where the objective function is given in a form of the expectation. A basic difficulty of solving such stochastic optimization problems is that the involved multidimensi... 详细信息
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Optimal Design of Manufacturing/remanufacturing Logistics Network Based on Uncertain Programming
Optimal Design of Manufacturing/remanufacturing Logistics Ne...
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16th International Conference on Management Science and Engineering
作者: Di Wei-min Wang Mei-jie Zhengzhou Univ Dept Engn Management Zhengzhou 450001 Peoples R China North China Inst Water Conservancy & Elect Power Sch Environm & Municipal Engn Beijing 450011 Peoples R China
To deal with optimal design problem of manufacturing/remanufacturing (M/R) logistics network under uncertain circumstance, a two-stage stochastic-fuzzy programming model is developed, which involves continuous distrib... 详细信息
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Stochastic programming approach to optimization under uncertainty
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MATHEMATICAL PROGRAMMING 2008年 第1期112卷 183-220页
作者: Shapiro, Alexander Georgia Inst Technol Sch Ind & Syst Engn Atlanta GA 30332 USA
In this paper we discuss computational complexity and risk averse approaches to two and multistage stochastic programming problems. We argue that two stage (say linear) stochastic programming problems can be solved wi... 详细信息
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Stochastic programming approach to optimization under uncertainty
Stochastic programming approach to optimization under uncert...
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19th International Symposium on Mathematical Programming
作者: Shapiro, Alexander Georgia Inst Technol Sch Ind & Syst Engn Atlanta GA 30332 USA
In this paper we discuss computational complexity and risk averse approaches to two and multistage stochastic programming problems. We argue that two stage (say linear) stochastic programming problems can be solved wi... 详细信息
来源: 评论