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Stochastic Linear Programming by Series of Monte-Carlo Estimators

Stochastic Linear Programming by Series of Monte-Carlo Estimators. Leonidas SAKALAUSKAS Institute of Mathematics&Informatics Vilnius, Lithuania E-mail: <sakal;@ktl.mii.lt>. CONTENT. Introduction Monte-Carlo estimators Stochastic differentiation Dual solution approach ( DS )

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666 views • 47 slides

Stochastic Differentiation

Stochastic Differentiation. Lecture 3. Leonidas Sakalauskas Institute of Mathematics and Informatics Vilnius, Lithuania EURO Working Group on Continuous Optimization. Content. Concept of stochastic gradient Analytical differentiation of expectation

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363 views • 20 slides

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Stochastic Linear Programming by Series of Monte-Carlo Estimators

Stochastic Differentiation