Asymptotic behavior of statistical estimators and of optimal solutions of stochastic optimization problems
From MaRDI portal
Publication:1117623
DOI10.1214/aos/1176351052zbMath0667.62018OpenAlexW2086024425WikidataQ100357508 ScholiaQ100357508MaRDI QIDQ1117623
Roger J.-B. Wets, Jitka Dupačová
Publication date: 1988
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176351052
convergence ratesstochastic optimizationasymptotic normalityepi-convergencesaddle pointsLagrangianssubdifferentiabilityconsistency result
Asymptotic properties of parametric estimators (62F12) Foundations and philosophical topics in statistics (62A01) Stochastic programming (90C15)
Related Items
A functional version of the Birkhoff ergodic theorem for a normal integrand: A variational approach, Asymptotic Analysis for a Stochastic Second-Order Cone Programming and Applications, Variance reduction in Monte Carlo sampling-based optimality gap estimators for two-stage stochastic linear programming, Quantitative stability in stochastic programming, Approximations of optimization-related problems in terms of variational convergence, Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts, A stochastic approach to stability in stochastic programming, A note on estimates in stochastic programming, Consistency of Sample Estimates of Risk Averse Stochastic Programs, A remark on multiobjective stochastic optimization via strongly convex functions, Probabilistic bounds (via large deviations) for the solutions of stochastic programming problems, The consistency of the L1norm estimates in arma models, Properties of empirical estimates in stochastic optimization and identification problems, Consistency of statistical estimators of solutions to stochastic optimization problems, Sequential characterization of statistical epi-convergence, Challenges in stochastic programming, Stochastic Learning Approach for Binary Optimization: Application to Bayesian Optimal Design of Experiments, Limit laws for empirical optimal solutions in random linear programs, A distribution map for the one-median location problem on a network, Unnamed Item, Constrained estimation: Consistency and asymptotics, Asymptotic analysis for a stochastic semidefinite programming, Logarithmic sample bounds for sample average approximation with capacity- or budget-constraints, Equations on monotone graphs, Unnamed Item, Individual confidence intervals for solutions to expected value formulations of stochastic variational inequalities, Thin and heavy tails in stochastic programming, Risk-Adapted Optimal Experimental Design, 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, An adaptive stochastic sequential quadratic programming with differentiable exact augmented Lagrangians, Unnamed Item, Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation, Moderate Deviations and Invariance Principles for Sample Average Approximations, Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules, Bayesian Joint Chance Constrained Optimization: Approximations and Statistical Consistency, On Feasibility of Sample Average Approximation Solutions, The impact of sampling methods on bias and variance in stochastic linear programs, Simulation-based confidence bounds for two-stage stochastic programs, The existence of maximum likelihood estimate in high-dimensional binary response generalized linear models, Confidence level solutions for stochastic programming, Unnamed Item, Unnamed Item, Variational analysis of constrained M-estimators, Large-sample results for optimization-based clustering methods, Asymptotic analysis of stochastic programs, On statistical sensitivity analysis in stochastic programming, Stability analysis for stochastic programs, Upper bounds on value-at-risk for the maximum portfolio loss, A non-exponential extension of Sanov’s theorem via convex duality, Method of empirical means in stochastic programming problems, Simulation-Based Optimality Tests for Stochastic Programs, Generalized conditioning based approaches to computing confidence intervals for solutions to stochastic variational inequalities, Maximum a posteriori estimators as a limit of Bayes estimators, Statistics with set-valued functions: applications to inverse approximate optimization, On a multistage discrete stochastic optimization problem with stochastic constraints and nested sampling, Spare parts inventory routing problem with transshipment and substitutions under stochastic demands, Filtered likelihood for point processes, Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule, Sensitivity analysis for nonsmooth generalized equations, Convergence properties of two-stage stochastic programming, Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures, On stability in multiobjective programming. A stochastic approach, Epi-convergent discretizations of stochastic programs via integration quadratures, Strong consistency of the maximum likelihood estimator in generalized linear and nonlinear mixed-effects models, Nonparametric maximum-likelihood estimation of probability measures: existence and consist\-en\-cy, Assessing solution quality in stochastic programs, Stability and sensitivity-analysis for stochastic programming, Invexity: an updated survey and new results for nonsmooth functions, Semiconvergence in distribution of random closed sets with application to random optimization problems, Epi‐consistency of convex stochastic programs, Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach, Epiconvergence of relaxed stochastic optimization problems, Two-Stage Stochastic Programming with Linearly Bi-parameterized Quadratic Recourse, Parallel processors for planning under uncertainty, Convergence of the empirical mean method in statistics and stochastic programming, Epi-convergence of sequences of normal integrands and strong consistency of the maximum likelihood estimator, Asymptotics of least-squares estimators for constrained nonlinear regression, Unnamed Item, Unnamed Item, Unnamed Item, Unnamed Item, Epi-consistency in restricted regression models. The case of general convex fitting function, Sample average approximation with sparsity-inducing penalty for high-dimensional stochastic programming, On the existence of strongly consistent indirect estimators when the binding function is compact valued, Adaptive Sequential Sample Average Approximation for Solving Two-Stage Stochastic Linear Programs, Monte Carlo bounding techniques for determinig solution quality in stochastic programs, Estimating density functions: a constrained maximum likelihood approach*, On sample average approximation for two-stage stochastic programs without relatively complete recourse, Asymptotic Properties of Stationary Solutions of Coupled Nonconvex Nonsmooth Empirical Risk Minimization, Normalized convergence in stochastic optimization, Unnamed Item, An appraisal of some aspects of statistical inference under inequality constraints, On impact of statistical estimates on precision of stochastic optimization, Bias Reduction in Sample-Based Optimization, Strong convergence of estimators as \(\varepsilon_n\)-minimisers of optimisation problems, Special issue: topics in stochastic programming, 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
