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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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Stochastic Linear Programming by Series of Monte-Carlo Estimators