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On the epiconvergence of stochastic optimization problems

Lookup NU author(s): Dr Mihail Zervos

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Abstract

The problem of strong consistency of sequences of optimal solutions to stochastic optimization problems is considered. This problem is related to a large number of applications including Bayesian decision problems and Monte Carlo simulations, as well as a number of statistical methodologies such as maximum likelihood estimation. The theory of epiconvergence being a framework within which such results can be established, the epiconvergence of the performance criteria of a sequence of stochastic optimization problems is proved under simple weak assumptions.


Publication metadata

Author(s): Zervos M

Publication type: Article

Publication status: Published

Journal: Mathematics of Operations Research

Year: 1999

Volume: 24

Issue: 2

Pages: 495-508

Print publication date: 01/01/1999

ISSN (print): 0364-765X

ISSN (electronic): 1526-5471

Publisher: Institute for Operations Research and the Management Sciences (INFORMS)

URL: http://dx.doi.org/10.1287/moor.24.2.495

DOI: 10.1287/moor.24.2.495


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