The empirical likelihood approach to quantifying uncertainty in sample average approximation
نویسندگان
چکیده
منابع مشابه
The empirical likelihood approach to quantifying uncertainty in sample average approximation
We study the empirical likelihood approach to construct confidence intervals for the optimal value and the optimality gap of a given solution, henceforth quantify the statistical uncertainty of sample average approximation, for optimization problems with expected value objectives and constraints where the underlying probability distributions are observed via limited data. This approach relies o...
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ژورنال
عنوان ژورنال: Operations Research Letters
سال: 2017
ISSN: 0167-6377
DOI: 10.1016/j.orl.2017.04.003