Empirical estimates in stochastic optimization via distribution tails

MaRDI QIDQ3585646zbMATH OpenFDO

Authors Vlasta Kaňková

Publication date 20 August 2010

Full work available at URL https://eudml.org/doc/196465, http://www.kybernetika.cz/content/2010/3/459

zbMATH Keywords

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

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

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Cited in

(6)

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

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