Geometry of the expected value set and the set-valued sample mean process

DOI10.1007/S11228-017-0448-1MaRDI QIDQ1711085zbMATH OpenOpenAlexFDO

Authors Alois Pichler

Publication date 16 January 2019

Published in Set-Valued and Variational Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1708.05735

zbMATH Keywords

stochastic optimizationrandom setsset-valued risk measuresset-valued integration

Mathematics Subject Classification ID

Stochastic programming (90C15) Set-valued functions (26E25) Set-valued and variational analysis (49J53) Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20)

Abstract: The law of large numbers extends to random sets by employing Minkowski addition. Above that, a central limit theorem is available for set-valued random variables. The existing results use abstract isometries to describe convergence of the sample mean process towards the limit, the expected value set. These statements do not reveal the local geometry and the relations of the sample mean and the expected value set, so these descriptions are not entirely satisfactory in understanding the limiting behavior of the sample mean process. This paper addresses and describes the fluctuations of the sample average mean on the boundary of the expectation set.

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