On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse and Extensions
نویسندگان
چکیده
منابع مشابه
On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse and Extensions
Integrals of optimal values of random optimization problems depending on a nite dimensional parameter are approximated by using empirical distributions instead of the original measure. Under fairly broad conditions, it is proved that uniform convergence of empirical approximations of the right hand sides of the constraints implies uniform convergence of the optimal values in the linear and conv...
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Expected recourse functions in linear two-stage stochastic programs with mixed-integer second stage are approximated by estimating the underlying probability distribution via empirical measures. Under mild conditions, almost sure uniform convergence of the empirical means to the original expected recourse function is established.
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A class of sets, or functions, is said to be P–Glivenko–Cantelli if the empirical measure Pn converges in some sense to the true measure, P , as n → ∞, uniformly over the class of sets or functions. Thus, the notions of Glivenko–Cantelli, and likewise uniform Glivenko–Cantelli are for the most part qualitative assessments of how “well–behaved” a collection of sets or functions is, in the sense ...
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We show that the P−Glivenko property of classes of functions F1, . . . ,Fk is preserved by a continuous function φ from R to R in the sense that the new class of functions x → φ(f1(x), . . . , fk(x)), fi ∈ Fi, i = 1, . . . , k is again a Glivenko-Cantelli class of functions if it has an integrable envelope. We also prove an analogous result for preservation of the uniform Glivenko-Cantelli prop...
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The reader is referred to Chapter 1.6 of Wellner’s Torgnon notes, Chapter ??? of VDVW and Chapter 8.3 of Kosorok. First, a theorem using bracketing entropy. Let (F , ‖ ‖) be a subset of a normed space of real functions f : X → R. Given real functions l and u on X (but not necessarily in F), the bracket [l, u] is defined as the set of all functions f ∈ F satisfying l ≤ f ≤ u. The functions l, u ...
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ژورنال
عنوان ژورنال: Mathematics of Operations Research
سال: 1998
ISSN: 0364-765X,1526-5471
DOI: 10.1287/moor.23.1.204