On the convergence of empirical estimates in problems of stochastic programming for processes with discrete time

DOI10.1007/S10559-005-0048-1MaRDI QIDQ2583619zbMATH OpenOpenAlexFDO

Authors Pavel S. Knopov, E. I. Kasitskaya

Publication date 17 January 2006

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

Full work available at URL https://doi.org/10.1007/s10559-005-0048-1

zbMATH Keywords

consistency of estimatesempirical estimatehypermixinglarge deviationsstochastic programming problem

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

• scientific article; zbMATH DE number 3137662 (Why is no real title available?)
• Large deviations of empirical estimates in stochastic programming problems

Cited in

(15)

• The expected loss in the discretization of multistage stochastic programming problems---estimation and convergence rate
• Empirical estimates in stochastic optimization and identification
• Convergence conditions for the observed mean method in stochastic programming
• Convergence of the empirical mean method in statistics and stochastic programming
• Probabilistic bounds (via large deviations) for the solutions of stochastic programming problems
• Properties of empirical estimates in stochastic optimization and identification problems
• 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
• Method of empirical means in stochastic programming problems
• Large deviations of empirical estimates in stochastic programming problems
• On the Glivenko-Cantelli problem in stochastic programming: Linear recourse and extensions
• scientific article; zbMATH DE number 1487999 (Why is no real title available?)
• Some scientific results of Yu. M. Ermoliev and his school in modern stochastic optimization theory
• On large deviations of empirical estimates in a stochastic programming problem with time-dependent observations
• scientific article; zbMATH DE number 2113216 (Why is no real title available?)

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