Asymptotic analysis of stochastic programs
From MaRDI portal
Stochastic programming problems depending on random elements only through the corresponding probability measure are considered in the paper. If this probability measure is substituted by its statistical estimate then, of course, only a statistical estimate of the optimal value and optimal solution can be obtained. The aim of the paper is to study the asymptotic behaviour of such estimates. The presented approach is based on the extended delta method. First, the definition of the problem as well as the definition of Hadamard differentiability and the basic delta method are recalled in the paper. Further, problems with deterministic constraint set are studied. The Lagrangian function is employed for the problems in which constraints can depend on the probability measure, too. The asymptotic analysis of the optimal value is presented very carefully while asymptotic properties of the corresponding optimal solution are discussed only briefly. Most of the presented results are proved separately in an appendix.
Recommendations
Cites work
- Asymptotic behavior of statistical estimators and of optimal solutions of stochastic optimization problems
- Asymptotic properties of statistical estimators in stochastic programming
- Asymptotics via empirical processes. With comments and a rejoinder by the author
- Convex Analysis
- Differential properties of the marginal function in mathematical programming
- Differential stability in infinite-dimensional nonlinear programming
- Directional Behaviour of Optimal Solutions in Nonlinear Mathematical Programming
- Generalized Delta Theorems for Multivalued Mappings and Measurable Selections
- Generalized equations and their solutions, Part I: Basic theory
- scientific article; zbMATH DE number 3844489 (Why is no real title available?)
- scientific article; zbMATH DE number 3878686 (Why is no real title available?)
- scientific article; zbMATH DE number 193918 (Why is no real title available?)
- scientific article; zbMATH DE number 3485503 (Why is no real title available?)
- scientific article; zbMATH DE number 3498613 (Why is no real title available?)
- scientific article; zbMATH DE number 3634008 (Why is no real title available?)
- scientific article; zbMATH DE number 4128239 (Why is no real title available?)
- scientific article; zbMATH DE number 3247810 (Why is no real title available?)
- scientific article; zbMATH DE number 3374409 (Why is no real title available?)
- Introduction to sensitivity and stability analysis in nonlinear programming
- Linear Statistical Inference and its Applications
- Metric regularity, tangent sets, and second-order optimality conditions
- On concepts of directional differentiability
- On differential stability in stochastic programming
- On uniqueness of Kuhn-Tucker multipliers in nonlinear programming
- Parallel processors for planning under uncertainty
- Robust Estimation of a Location Parameter
- Robust Statistics
- Second order sensitivity analysis and asymptotic theory of parametrized nonlinear programs
- Stability Theory for Systems of Inequalities, Part II: Differentiable Nonlinear Systems
- Stochastic programming with incomplete information:a surrey of results on postoptimization and sensitivity analysis
- Strongly Regular Generalized Equations
- The efficiency and heavy traffic properties of the score function method in sensitivity analysis of queueing models
- The length of the shorth
- The theory of differentiation in linear topological spaces
- Von Mises calculus for statistical functionals
Cited in
(only showing first 100 items - show all)- Asymptotic normality of test statistics under alternative hypotheses
- Differentiable selections and Castaing representations of multifunctions
- Estimated stochastic programs with chance constraints
- A simulation-based approach to two-stage stochastic programming with recourse
- Monte Carlo bounding techniques for determinig solution quality in stochastic programs
- Quantitative stability in stochastic programming
- Challenges in stochastic programming
- Asymptotics of statistical estimates in stochastic programming problems with long-range dependent samples
- Asymptotic analysis of perturbed mathematical programs
- Delta-method inference for a class of set-identified SVARs
- Maximum a posteriori estimators as a limit of Bayes estimators
- Tests of stochastic monotonicity with improved power
- Strong convergence of estimators in nonlinear autoregressive models
- A stochastic approach to stability in stochastic programming
- A note on estimates in stochastic programming
- Probabilistic bounds (via large deviations) for the solutions of stochastic programming problems
- Properties of empirical estimates in stochastic optimization and identification problems
- Inference on functionals under first order degeneracy
- Applied welfare analysis for discrete choice with interval-data on income
- On efficiency of the plug-in principle for estimating smooth integrated functionals of a nonincreasing density
- Refinements of the Kiefer-Wolfowitz theorem and a test of concavity
- Asymptotic behavior of solutions: an application to stochastic NLP
- On rates of convergence for sample average approximations in the almost sure sense and in mean
- Sample average approximation for stochastic nonconvex mixed integer nonlinear programming via outer-approximation
- Limit laws for empirical optimal solutions in random linear programs
- Directional differentiability for supremum-type functionals: statistical applications
- Posterior distribution of nondifferentiable functions
- The existence of maximum likelihood estimate in high-dimensional binary response generalized linear models
- Some large deviations results for Latin hypercube sampling
- Empirical optimal transport on countable metric spaces: distributional limits and statistical applications
- Asymptotic behaviors of semidefinite programming with a covariance perturbation
- On sample size control in sample average approximations for solving smooth stochastic programs
- Genetic algorithm based technique for solving chance constrained problems
- Asymptotics of minimax stochastic programs
- Worst-case distribution analysis of stochastic programs
- Assessing solution quality in stochastic programs
- The empirical behavior of sampling methods for stochastic programming
- Semiconvergence in distribution of random closed sets with application to random optimization problems
- Sequential importance sampling algorithms for dynamic stochastic programming
- Asymptotic analysis for a stochastic semidefinite programming
- Sample average approximation methods for a class of stochastic variational inequality problems
- Monte Carlo methods for mean-risk optimization and portfolio selection
- Stability results for stochastic programming problems
- Adaptive and nonadaptive approaches to statistically based methods for solving stochastic linear programs: a computational investigation
- scientific article; zbMATH DE number 1559104 (Why is no real title available?)
- Distributionally robust stochastic programming
- Inference for empirical Wasserstein distances on finite spaces
- A Bayesian risk approach to data-driven stochastic optimization: formulations and asymptotics
- GLOBAL CONVERGENCE OF A GENERAL SAMPLING ALGORITHM FOR DYNAMIC NONLINEAR STOCHASTIC PROGRAMS
- Asymptotic Stochastic Programs
- scientific article; zbMATH DE number 1419370 (Why is no real title available?)
- Statistics of robust optimization: a generalized empirical likelihood approach
- Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework
- Stochastic learning approach for binary optimization: application to Bayesian optimal design of experiments
- Constraint qualifications in partial identification
- Efficient Stochastic Programming in Julia
- Nonparametric tests of density ratio ordering
- Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures
- An empirical interpolation and model-variance reduction method for computing statistical outputs of parametrized stochastic partial differential equations
- Mercer kernels and integrated variance experimental design: connections between Gaussian process regression and polynomial approximation
- Asymptotic Analysis for a Stochastic Second-Order Cone Programming and Applications
- Convergence properties of two-stage stochastic programming
- Approximations, expansions and univalued representations of multifunctions
- A dual approach to inference for partially identified econometric models
- Sample average approximation with heavier tails. I: Non-asymptotic bounds with weak assumptions and stochastic constraints
- Sample average approximation with heavier tails II: localization in stochastic convex optimization and persistence results for the Lasso
- Consistency of Monte Carlo estimators for risk-neutral PDE-constrained optimization
- Comparing regression curves: an L^1-point of view
- Testing equivalence of multinomial distributions -- a constrained bootstrap approach
- Moderate Deviations and Invariance Principles for Sample Average Approximations
- Stochastic multiobjective optimization: Sample average approximation and applications
- A uniform kernel trick for high and infinite-dimensional two-sample problems
- Distributions and bootstrap for data-based stochastic programming
- An algorithm for stochastic convex-concave fractional programs with applications to production efficiency and equitable resource allocation
- Limit distribution theory for smooth \(p\)-Wasserstein distances
- Optimal experimental design: formulations and computations
- Robust inference for moment condition models without rational expectations
- Statistical inference for generative adversarial networks and other minimax problems
- Regression Kink With an Unknown Threshold
- Improved Nonparametric Bootstrap Tests of Lorenz Dominance
- Simple Inference on Functionals of Set-Identified Parameters Defined by Linear Moments
- Tie-Break Bootstrap for Nonparametric Rank Statistics
- Asymptotic properties of Monte Carlo methods in elliptic PDE-constrained optimization under uncertainty
- A single cut proximal bundle method for stochastic convex composite optimization
- Statistical inference with regularized optimal transport
- Integrated estimate-and-optimize decision trees learning for two-stage linear decision-making problems
- Distributional limits of graph cuts on discretized grids
- Minimax asymptotics
- Semiparametric tests for Lorenz dominance based on density ratio model
- Moderate deviations for minimax stochastic programs
- Bootstrap tests for almost goodness-of-fit
- Testing for similarity of dose response in multiregional clinical trials
- Choosing the right norm for change point detection in functional data
- k-sample inference via multimarginal optimal transport
- Tests for Almost Stochastic Dominance
- Distributionally robust optimization
- Simple subvector inference on sharp identified set in affine models
- The functional delta method for deriving asymptotic distributions
- Optimization-Based Sensitivity Analysis for Unmeasured Confounding Using Partial Correlations
- Estimation and inference for the Wasserstein distance between mixing measures in topic models
This page was built for publication: Asymptotic analysis of stochastic programs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1178439)
