Epi-Consistency of Convex Stochastic Programs

King AJ & Wets RJ-B (1988). Epi-Consistency of Convex Stochastic Programs. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-88-057

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Abstract

This paper presents consistency results for sequences of optimal solutions to convex stochastic optimization problems constructed from empirical data. Very few additional assumptions are required because of the special properties of convexity and empirical measures; nevertheless the results are broadly applicable to many situations arising in stochastic programming.

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: 23 Jul 2016 05:30
URI: http://pure.iiasa.ac.at/3148

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