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Efficient simulation of high dimensional Gaussian vectors

Kahalé, Nabil - In: Mathematics of operations research 44 (2019) 1, pp. 58-73

Persistent link: https://www.econbiz.de/10012001060

A single-phase, proximal path-following framework

Tran-Dinh, Quoc; Kyrillidis, Anastasios; Cevher, Volkan - In: Mathematics of operations research 43 (2018) 4, pp. 1326-1347

Persistent link: https://www.econbiz.de/10011957090

Using diversification, communication and parallelism to solve mixed-integer linear programs

Carvajal, R.; Ahmed, Syed M.; Nemhauser, George L.; … - In: Operations research letters 42 (2014) 2, pp. 186-189

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A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems

Cai, Yongyang; Kenneth, L. Judd, - In: Quantitative economics : QE ; journal of the … 14 (2023) 2, pp. 651-687

We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that SCEQ can quickly solve high-dimensional finite- or infinite-horizon, stationary or non- stationary dynamic stochastic problems with hundreds of state...

Persistent link: https://www.econbiz.de/10014308586