Worst-case large deviations upper bounds for i.i.d. sequences under ambiguity

DOI10.3906/MAT-1607-20MaRDI QIDQ4633747zbMATH OpenOpenAlexFDO

Authors Mustafa Ç. Pınar

Publication date 3 May 2019

Published in Turkish Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3906/mat-1607-20

zbMATH Keywords

large deviationsambiguityrobust optimizationLegendre-Fenchel transformmin-max theoremellipsoids

Mathematics Subject Classification ID

Large deviations (60F10) Minimax problems in mathematical programming (90C47)

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Cites work

• scientific article; zbMATH DE number 107482 (Why is no real title available?)
• scientific article; zbMATH DE number 1266748 (Why is no real title available?)
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• scientific article; zbMATH DE number 847278 (Why is no real title available?)
• Entropic risk measures: coherence vs. convexity, model ambiguity and robust large deviations
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• On Cramér's theorem for capacities
• Robust Solutions to Least-Squares Problems with Uncertain Data
• Robust large deviations performance analysis for large sample detectors
• Robust optimization
• Robust solutions of uncertain linear programs
• Theory and applications of robust optimization
• Worst-case large-deviation asymptotics with application to queueing and information theory

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