Two-stage stochastic linear programming by a series of Monte-Carlo estimators
<p class="Abstract">In this paper a stochastic adaptive method has been developed to solve stochastic linear problems by a finite sequence of Monte-Carlo sampling estimators. The method is based on the adaptive regulation of the size of Monte-Carlo samples and a statistical terminati...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Klaipėda University
2015-07-01
|
| Series: | Computational Science and Techniques |
| Online Access: | http://journals.ku.lt/index.php/CST/article/view/891 |