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On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
Jiang, Guangxin; Xu, Chenglong; Fu, Michael - In: Operations research letters 44 (2016) 1, pp. 44-49
Persistent link: https://www.econbiz.de/10011455555
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On supremum-norm cost games
Meca, Ana; Sošić, Greys - In: Operations research letters 44 (2016) 1, pp. 54-58
Persistent link: https://www.econbiz.de/10011455558
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Topological optimization of reliable networks under dependent failures
Barrera, Javiera; Cancela, Héctor; Moreno, Eduardo - In: Operations research letters 43 (2015) 2, pp. 132-136
Persistent link: https://www.econbiz.de/10010515800
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Maximizing expected utility over a knapsack constraint
Yu, Jianjin; Ahmed, Shabbir - In: Operations research letters 44 (2016) 2, pp. 180-185
Persistent link: https://www.econbiz.de/10011457277
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When can we improve on sample average approximation for stochastic optimization?
Anderson, Edward J.; Nguyen, Harrison - In: Operations research letters 48 (2020) 5, pp. 566-572
Persistent link: https://www.econbiz.de/10012303409
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The empirical likelihood approach to quantifying uncertainty in sample average approximation
Lam, Henry; Zhou, Enlu - In: Operations research letters 45 (2017) 4, pp. 301-307
Persistent link: https://www.econbiz.de/10011740327
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Logarithmic sample bounds for Sample Average Approximation with capacity- or budget-constraints
Bugg, Caleb; Aswani, Anil - In: Operations research letters 49 (2021) 2, pp. 231-238
Persistent link: https://www.econbiz.de/10012506656