RT Journal Article
SR 00
ID 10.1287/moor.23.1.204
A1 Pflug, G.
A1 Ruszczynski, A.
A1 Schultz, R.
T1 On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse and Extensions
JF Mathematics of Operations Research
YR 1998
FD 1998
VO 23
IS 1
SP 204
OP 220
AB Integrals of optimal values of random optimization problems depending on a finite 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 convex case.
PB INFORMS
SN 0364-765X
LK https://pure.iiasa.ac.at/id/eprint/14189/