Consistency of sample estimates of risk averse stochastic programs

DOI10.1239/JAP/1371648959MaRDI QIDQ5299576zbMATH OpenOpenAlexFDO

Authors Alexander Shapiro

Publication date 26 June 2013

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.jap/1371648959

zbMATH Keywords

law of large numbersstochastic programmingsample average approximationepiconvergenceconsistency of statistical estimatorslaw-invariant convex and coherent risk measures

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Stochastic programming (90C15) Strong limit theorems (60F15)

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Cites work

• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• scientific article; zbMATH DE number 823368 (Why is no real title available?)
• Asymptotic behavior of statistical estimators and of optimal solutions of stochastic optimization problems
• Asymptotic consistency of risk functionals
• Coherent measures of risk
• Lectures on Stochastic Programming
• Optimization of Convex Risk Functions
• Stochastic finance. An introduction in discrete time
• Variational Analysis

Cited in

(14)

• A new coherent multivariate average-value-at-risk
• Distributionally robust stochastic variational inequalities
• Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?
• Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity
• Consistency of Monte Carlo estimators for risk-neutral PDE-constrained optimization
• Convex approximations of two-stage risk-averse mixed-integer recourse models
• A central limit theorem and hypotheses testing for risk-averse stochastic programs
• Sampling Distribution of the Relative Risk Aversion Estimator: Theory and Applications
• Convergence analysis for distributionally robust optimization and equilibrium problems
• Distributionally robust stochastic programming
• Asymptotic consistency of risk functionals
• Periodical multistage stochastic programs
• Asymptotic consistency for nonconvex risk-averse stochastic optimization with infinite-dimensional decision spaces
• First order asymptotics of the sample average approximation method to solve risk averse stochastic programs

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