Stability and Sample-Based Approximations of Composite Stochastic Optimization Problems
From MaRDI portal
Abstract: Optimization under uncertainty and risk is indispensable in many practical situations. Our paper addresses stability of optimization problems using composite risk functionals which are subjected to measure perturbations. Our main focus is the asymptotic behavior of data-driven formulations with empirical or smoothing estimators such as kernels or wavelets applied to some or to all functions of the compositions. We analyze the properties of the new estimators and we establish strong law of large numbers, consistency, and bias reduction potential under fairly general assumptions. Our results are germane to risk-averse optimization and to data science in general.
Recommendations
- scientific article; zbMATH DE number 5511108
- Statistical estimation of composite risk functionals and risk optimization problems
- Asymptotic consistency for nonconvex risk-averse stochastic optimization with infinite-dimensional decision spaces
- Asymptotic optimality in stochastic optimization
- scientific article; zbMATH DE number 1487997
Cited in
(3)
This page was built for publication: Stability and Sample-Based Approximations of Composite Stochastic Optimization Problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6195084)
