On the Glivenko-Cantelli problem in stochastic programming: Mixed-integer linear recourse

被引：0
|
作者：
Georg Ch. Pflug
Andrzej Ruszczyński
Rüdiger Schultz
机构：
[1] Universität Wien,Institut für Statistik und Operations Research
[2] Rutgers University,Department of Management Science and Information Systems
[3] Universität Leipzig,Mathematisches Institut
来源：
Mathematical Methods of Operations Research | 1998年 / 47卷
关键词：
Stochastic Programming; Empirical Measures; Uniform Convergence; Value Functions of Mixed-Integer Linear Programs;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Expected recourse functions in linear two-stage stochastic programs with mixed-integer second stage are approximated by estimating the underlying probability distribution via empirical measures. Under mild conditions, almost sure uniform convergence of the empirical means to the original expected recourse function is established.
引用
收藏
页码：39 / 49
页数：10
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