On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse and Extensions
Please always quote using this URN: urn:nbn:de:0297-zib-2448
- Integrals of optimal values of random optimization problems depending on a finite dimensional parameter are approximated by using empirical distributions instead of the original measure. Under fairly broad conditions, it is proved that uniform convergence of empirical approximations of the right hand sides of the constraints implies uniform convergence of the optimal values in the linear and convex case.
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| Author: | Georg Ch. Pflug, Andrzej Ruszczynski, Rüdiger Schultz |
|---|---|
| Document Type: | ZIB-Report |
| Date of first Publication: | 1996/10/24 |
| Series (Serial Number): | ZIB-Report (SC-96-34) |
| ZIB-Reportnumber: | SC-96-34 |
| Published in: | Appeared in: Mathematics of Operations Research 23 (1998) 204-220 |
