Consistency and properties of large deviations of empirical estimates in stochastic optimization problems for homogeneous random fields under nonhomogeneous and homogeneous observations

DOI10.1007/S10559-021-00326-0MaRDI QIDQ2043963zbMATH OpenOpenAlexFDO

Authors Pavel S. Knopov, E. J. Kasitskaya

Publication date 4 August 2021

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

Full work available at URL https://doi.org/10.1007/s10559-021-00326-0

zbMATH Keywords

large deviationsnonhomogeneous observationsrandom field homogeneous in strict sensestochastic programming problemstrong mixing condition

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic programming (90C15) Optimal stochastic control (93E20)

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• On large deviations of empirical estimates in a stochastic programming problem with time-dependent observations
• Asymptotic properties of the method of observed means for nonstationary random fields

Cites work

• Asymptotic properties of some classes of M-estimates
• Estimates of linear regression coefficients on a homogeneous random field
• scientific article; zbMATH DE number 4054862 (Why is no real title available?)
• scientific article; zbMATH DE number 194664 (Why is no real title available?)
• scientific article; zbMATH DE number 194998 (Why is no real title available?)
• Mathematical models and methods of risk assessment in ecologically hazardous industries
• On large deviations of empirical estimates in a stochastic programming problem with time-dependent observations
• Properties of empirical estimates in stochastic optimization and identification problems

Cited in

(8)

• Asymptotic properties of the method of observed means for nonstationary random fields
• Large deviations for the method of empirical means in stochastic optimization problems with continuous time observations
• Large deviations of empirical estimates in the stochastic programming problem for the homogeneous random field with a discrete parameter
• Large deviations of empirical estimates in the stochastic programming problem with nonstationary observations and continuous time
• On large deviations of empirical estimates in a stochastic programming problem with time-dependent observations
• On convergence of the empirical mean method for non-identically distributed random vectors
• On large deviations in estimation problems with dependent observations
• Asymptotic properties of the empirical mean method

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