Sample average approximation with heavier tails. I: Non-asymptotic bounds with weak assumptions and stochastic constraints

DOI10.1007/s10107-022-01810-xzbMath1517.90089arXiv1705.00822WikidataQ114691823 ScholiaQ114691823MaRDI QIDQ6038637

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Publication date: 2 May 2023

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.00822

zbMATH Keywords

random constraints; non-asymptotic deviation inequalities; strong error probability bounds

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

90C31: Sensitivity, stability, parametric optimization

90C15: Stochastic programming

60F10: Large deviations