Asymptotics of minimax stochastic programs

DOI10.1016/J.SPL.2007.05.012MaRDI QIDQ2476823zbMATH OpenOpenAlexFDO

Authors Alexander Shapiro

Publication date 12 March 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2007.05.012

zbMATH Keywords

absolute semideviation risk measureexponential rate of convergencefunctional central limit theoreminfinite dimensional delta methodminimax stochastic programmingsample average approximation

Mathematics Subject Classification ID

Stochastic programming (90C15) Minimax problems in mathematical programming (90C47)

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Cites work

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• scientific article; zbMATH DE number 3697872 (Why is no real title available?)
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• Monte Carlo sampling approach to stochastic programming
• On complexity of multistage stochastic programs
• The length of the shorth

Cited in

(20)

• A newsvendor analysis of a binomial yield production process
• On optimization of stochastic max-min-plus-scaling systems -- an approximation approach
• Central limit theorem and sample complexity of stationary stochastic programs
• On rates of convergence for sample average approximations in the almost sure sense and in mean
• On the errors committed by sequences of estimator functionals
• Statistical estimation of composite risk functionals and risk optimization problems
• Asymptotic analysis for a stochastic semidefinite programming
• Sample average approximations of strongly convex stochastic programs in Hilbert spaces
• Asymptotic minimaxity of the ratio strategy
• Measurable Selection Theorems for Minimax Stochastic Optimization Problems
• A central limit theorem and hypotheses testing for risk-averse stochastic programs
• The minimax approach to stochastic programming and an illustrative application
• Sample average approximation with heavier tails. I: Non-asymptotic bounds with weak assumptions and stochastic constraints
• Moderate Deviations and Invariance Principles for Sample Average Approximations
• Nonasymptotic upper estimates for errors of the sample average approximation method to solve risk averse stochastic programs
• Statistical inference for generative adversarial networks and other minimax problems
• First order asymptotics of the sample average approximation method to solve risk averse stochastic programs
• Asymptotics of the optimal value of SAA with AMIS on minimax stochastic programs
• Minimax asymptotics
• Moderate deviations for minimax stochastic programs

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