relation: https://pure.iiasa.ac.at/id/eprint/4589/
title: On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse
creator: Pflug, G.C.
creator: Ruszczynski, A.
creator: Schultz, R.
description: Integrals of optimal values of random linear programming problems depending on a finite dimensional parameter are approximated by using empirical distributions instead of the original measure. Uniform convergence of the approximations is proved under fairly broad conditions allowing non-convex or discontinuous dependence on the parameter value and random size of the linear programming problem.
publisher: WP-95-003
date: 1995-01
type: Monograph
type: NonPeerReviewed
format: text
language: en
identifier: https://pure.iiasa.ac.at/id/eprint/4589/1/WP-95-003.pdf
identifier:   Pflug, G.C. <https://pure.iiasa.ac.at/view/iiasa/229.html> ORCID: https://orcid.org/0000-0001-8215-3550 <https://orcid.org/0000-0001-8215-3550>, Ruszczynski, A. <https://pure.iiasa.ac.at/view/iiasa/1544.html>, & Schultz, R.  (1995).  On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse.   IIASA Working Paper. IIASA, Laxenburg, Austria: WP-95-003