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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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Importance sampling for jump processes and applications to finance
Badouraly Kassim, Laetitia; Lelong, Jérôme; … - In: The journal of computational finance 19 (2015/2016) 2, pp. 109-139
Persistent link: https://www.econbiz.de/10011442676
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Sample average approximation for the continuous type principal-agent problem
Singham, D. I. - In: European journal of operational research : EJOR 275 (2019) 3, pp. 1050-1057
Persistent link: https://www.econbiz.de/10011993644
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Efficient solution selection for two-stage stochastic programs
Fei, Xin; Gülpınar, Nalân; Branke, Jürgen - In: European journal of operational research : EJOR 277 (2019) 3, pp. 918-929
Persistent link: https://www.econbiz.de/10012102211
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Profit-oriented partial disassembly line design : dealing with hazardous parts and task processing times uncertainty
Bentaha, Mohand Lounes; Dolgui, Alexandre; Battaïa, Olga; … - In: International journal of production research 56 (2018) 24, pp. 7220-7242
Persistent link: https://www.econbiz.de/10011986934
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Sampling-based approximation schemes for capacitated stochastic inventory control models
Cheung, Wang Chi; Simchi-Levi, David - In: Mathematics of operations research 44 (2019) 2, pp. 668-692
Persistent link: https://www.econbiz.de/10012028641
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An enhanced sample average approximation method for stochastic optimization
Emelogu, Adindu; Chowdhury, Sudipta; Marufuzzaman, Mohammad - In: International journal of production economics 182 (2016), pp. 230-252
Persistent link: https://www.econbiz.de/10011621951
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Sample average approximation under non-i.i.d. sampling for stochastic empty container repositioning problem
Long, Yin; Chew, Ek Peng; Lee, Loo Hay - In: OR spectrum : quantitative approaches in management 37 (2015) 2, pp. 389-405
Persistent link: https://www.econbiz.de/10010513277
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Data-driven satisficing measure and ranking
Huang, Wenjie - In: Journal of the Operational Research Society 71 (2020) 3, pp. 456-474
Persistent link: https://www.econbiz.de/10012216628