Empirical estimates in stochastic optimization via distribution tails

zbMATH Open1225.90092MaRDI QIDQ3585646FDOQ3585646

Authors: Vlasta Kaňková 

Publication date: 20 August 2010

Full work available at URL: https://eudml.org/doc/196465

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• scientific article; zbMATH DE number 1203225

zbMATH Keywords

heavy tailsPareto distributionWasserstein metricstabilityconvergence rateLipschitz propertyexponential tailsrisk functionalsempirical quantiles\(L_1\) normempirical estimatesstochastic programming problems

Mathematics Subject Classification ID

Stochastic programming (90C15)

Cites Work

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Cited In (6)

• On impact of statistical estimates on precision of stochastic optimization
• On precision of stochastic optimization based on estimates from censored data
• Thin and heavy tails in stochastic programming
• A remark on multiobjective stochastic optimization via strongly convex functions
• Stochastic optimization problems with nonlinear dependence on a probability measure via the Wasserstein metric
• Stability, empirical estimates and scenario generation in stochastic optimization - applications in finance.

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