Stochastic programs and statistical data

DOI10.1023/A:1018982129937MaRDI QIDQ1289296zbMATH OpenOpenAlexWikidataFDO

Authors Georg Ch. Pflug

Publication date 27 May 1999

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1018982129937

zbMATH Keywords

confidence regionsstochastic optimizationmetric entropyapproximation errorrisk functionals

Mathematics Subject Classification ID

Nonparametric tolerance and confidence regions (62G15) Stochastic programming (90C15)

Recommendations

• Output analysis for approximated stochastic programs
• scientific article; zbMATH DE number 4037608
• scientific article; zbMATH DE number 2190123
• Statistical inference of stochastic optimization problems
• scientific article; zbMATH DE number 3878686

Cited in

(13)

• scientific article; zbMATH DE number 2190123 (Why is no real title available?)
• Capital growth with security
• scientific article; zbMATH DE number 2159173 (Why is no real title available?)
• Asymptotic behaviors of semidefinite programming with a covariance perturbation
• A central limit theorem and hypotheses testing for risk-averse stochastic programs
• scientific article; zbMATH DE number 3876377 (Why is no real title available?)
• 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
• Optimization under uncertainty with applications to design of truss structures
• On Monte-Carlo methods in convex stochastic optimization
• Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures
• First order asymptotics of the sample average approximation method to solve risk averse stochastic programs
• Moderate Deviations and Invariance Principles for Sample Average Approximations

This page was built for publication: Stochastic programs and statistical data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1289296)