Asymptotic Distributions for Solutions in Stochastic Optimization and Generalized M-Estimation

King AJ (1988). Asymptotic Distributions for Solutions in Stochastic Optimization and Generalized M-Estimation. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-88-058

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Abstract

New techniques of local sensitivity analysis in nonsmooth optimization are applied to the problem of determining the asymptotic distribution (generally non-normal) for solutions in stochastic optimization, and generalized M-estimation -- a reformulation of the traditional maximum likelihood problem that allows the introduction of hard constraints.

Item Type: Monograph (IIASA Working Paper)
Research Programs: Adaption and Optimization (ADO)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:59
Last Modified: 09 Nov 2016 10:39
URI: http://pure.iiasa.ac.at/3147

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