Stochastic programs and statistical data

DOI10.1023/A:1018982129937zbMATH Open0919.90118OpenAlexW140792056WikidataQ105584637 ScholiaQ105584637MaRDI QIDQ1289296FDOQ1289296

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

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zbMATH Keywords

confidence regionsstochastic optimizationmetric entropyapproximation errorrisk functionals

Mathematics Subject Classification ID

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

Cited In (13)

• Capital growth with security
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• Asymptotic behaviors of semidefinite programming with a covariance perturbation
• Sample average approximation with heavier tails. I: Non-asymptotic bounds with weak assumptions and stochastic constraints
• On Monte-Carlo methods in convex stochastic optimization
• Sample average approximation with heavier tails II: localization in stochastic convex optimization and persistence results for the Lasso
• A central limit theorem and hypotheses testing for risk-averse stochastic programs
• First order asymptotics of the sample average approximation method to solve risk averse stochastic programs
• Optimization under uncertainty with applications to design of truss structures
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• Moderate Deviations and Invariance Principles for Sample Average Approximations
• Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures

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