Non-asymptotic confidence bounds for the optimal value of a stochastic program

DOI10.1080/10556788.2017.1350177zbMath1386.90091arXiv1601.07592OpenAlexW2338512581WikidataQ57392867 ScholiaQ57392867MaRDI QIDQ4594844

Arkadi Nemirovski, Vincent Guigues, Anatoli B. Juditsky

Publication date: 24 November 2017

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.07592

zbMATH Keywords

confidence intervalsample average approximationminmax stochastic optimizationstochastically constrained problems

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Nonlinear programming (90C30) Stochastic programming (90C15)

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