Method of empirical means in stochastic programming problems

DOI10.1007/S10559-006-0118-ZMaRDI QIDQ2458088zbMATH OpenOpenAlexFDO

Authors Pavel S. Knopov, Yuri M. Ermoliev

Publication date 31 October 2007

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10559-006-0118-z

zbMATH Keywords

empirical mean methodestimateestimationoptimizationrisk

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

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Cited in

(13)

• An approximation method for computing the expected value of max-affine expressions
• Asymptotic properties of the method of observed means for nonstationary random fields
• Convergence of the empirical mean method in statistics and stochastic programming
• A model of infectious disease spread with hidden carriers
• Large deviations of empirical estimates in the stochastic programming problem for the homogeneous random field with a discrete parameter
• Continuous-time switching regression method with unknown switching points
• A method for transforming stochastic nonlinear programming problems into deterministic ones for a class T of functions.
• Some scientific results of Yu. M. Ermoliev and his school in modern stochastic optimization theory
• A novel method of solving a quadratic programming problem under stochastic conditions
• Bias evaluation and reduction for sample-path optimization
• M-estimates: a review and application for decision-making under uncertainty
• Asymptotic properties of the empirical mean method
• Expected utility theory, optimal portfolios, and polyhedral coherent risk measures

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