On the convergence rate of empirical estimates in chance constrained stochastic programming

Vlasta Kaňková

Kybernetika (1990)

  • Volume: 26, Issue: 6, page 449-461
  • ISSN: 0023-5954

How to cite

top

Kaňková, Vlasta. "On the convergence rate of empirical estimates in chance constrained stochastic programming." Kybernetika 26.6 (1990): 449-461. <http://eudml.org/doc/27989>.

@article{Kaňková1990,
author = {Kaňková, Vlasta},
journal = {Kybernetika},
keywords = {chance constrained stochastic programming; optimal value estimates; stochastic dependent samples},
language = {eng},
number = {6},
pages = {449-461},
publisher = {Institute of Information Theory and Automation AS CR},
title = {On the convergence rate of empirical estimates in chance constrained stochastic programming},
url = {http://eudml.org/doc/27989},
volume = {26},
year = {1990},
}

TY - JOUR
AU - Kaňková, Vlasta
TI - On the convergence rate of empirical estimates in chance constrained stochastic programming
JO - Kybernetika
PY - 1990
PB - Institute of Information Theory and Automation AS CR
VL - 26
IS - 6
SP - 449
EP - 461
LA - eng
KW - chance constrained stochastic programming; optimal value estimates; stochastic dependent samples
UR - http://eudml.org/doc/27989
ER -

References

top
  1. P. Billingsley, Convergence of Probability Measures, J. Wiley, New York 1977. (1977) MR0233396
  2. А. В. Цыбакоб, Оценка точносту метода минимизации эмпиричецкого руска, Проблемы передачи информации 17 (1981), 1, 50 - 61. (1981) Zbl1170.01413MR0647424
  3. J. Dupačová, Stochastic programming with incomplete information: A survey of results on postoptimization and sensitivity analysis, Optimization 18 (1987), 4, 507-532. (1987) MR0909659
  4. J. Dupačová, R, Wets, Asymptotic behaviour of statistical estimators and the optimal solutions of stochastic optimization problems, Ann. Statist. 16 (1988), 4, 1517-1549. (1988) MR0964937
  5. W. Hoeffding, Probability inequalities for sums of bounded random variables, J. Amer. Statist. Assoc. 58 (1963), 301, 13-30. (1963) Zbl0127.10602MR0144363
  6. V. Kaňková, Optimum soJution of a stochastic problem with unknown parameters, In: Trans. Seventh Prague Conference, Academia, Prague 1977, pp. 239-244. (1977) MR0519478
  7. V. Kaňková, An approximative solution of a stochastic optimization problem, In:Trans. Eighth Prague Conference, Academia, Prague 1978, pp. 327-332. (1978) MR0536792
  8. V. Kaňková, Empirical estimates in stochastic programming, In: Trans. Tenth Prague Conference, Academia, Prague 1986. (1986) 
  9. V. Kaňková, Estimates in stochastic programming - chance constrained case, Problems Control Inform. Theory 18 (1989), 4, 251-260. (1989) MR1017408
  10. W. Römisch, A. Wakolbinger, Obtaining convergence rates for approximations in stochastic programming, In: Parametric Optimization and Related Topics, Akademie-Verlag, Berlin 1987. (1987) MR0909737
  11. R. Wets, A Statistical Approach to the Solution of Stochastic Programs with (Convex) Simple Recourse, Research Report, Univ. Kentucky, Lexington, Kentucky 1979. (1979) 
  12. S. Vogel, Stability results for stochastic programming problems, Optimization 19 (1988), 2, 269-288. (1988) Zbl0649.90078MR0948397

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

                
Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.