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Normalized convergence in stochastic optimization (1991)

Ermoliev, Yuri M. ; Norkin, Vladimir I.

Springer

Annals of operations research 30 (1991), S. 187-198

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ISSN: 1572-9338

Keywords: Probability theory ; normalized convergence ; stochastic optimization ; statistical approach ; rate of convergence

Source: Springer Online Journal Archives 1860-2000

Topics: Mathematics , Economics

Notes: Abstract A new concept of (normalized) convergence of random variables is introduced. This convergence is preserved under Lipschitz transformations, follows from convergence in mean and itself implies convergence in probability. If a sequence of random variables satisfies a limit theorem then it is a normalized convergent sequence. The introduced concept is applied to the convergence rate study of a statistical approach in stochastic optimization.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1007/BF02204816

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