RT Monograph
SR 00
A1 Pflug, G.C.
A1 Ruszczynski, A.
A1 Schultz, R.
T1 On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse
YR 1995
FD 1995-01
SP 18
AB 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.
PB WP-95-003
PP IIASA, Laxenburg, Austria
AV Published
LK https://pure.iiasa.ac.at/id/eprint/4589/