Keywords: continuous convergence; epi-convergence; stochastic programming; stability; estimates
@article{KYB_2003_39_1_a6,
author = {Vogel, Silvia and Lachout, Petr},
title = {On continuous convergence and epi-convergence of random functions. {Part} {II:} {Sufficient} conditions and applications},
journal = {Kybernetika},
pages = {99--118},
year = {2003},
volume = {39},
number = {1},
mrnumber = {1980126},
zbl = {1249.90185},
language = {en},
url = {http://geodesic.mathdoc.fr/item/KYB_2003_39_1_a6/}
}
TY - JOUR AU - Vogel, Silvia AU - Lachout, Petr TI - On continuous convergence and epi-convergence of random functions. Part II: Sufficient conditions and applications JO - Kybernetika PY - 2003 SP - 99 EP - 118 VL - 39 IS - 1 UR - http://geodesic.mathdoc.fr/item/KYB_2003_39_1_a6/ LA - en ID - KYB_2003_39_1_a6 ER -
Vogel, Silvia; Lachout, Petr. On continuous convergence and epi-convergence of random functions. Part II: Sufficient conditions and applications. Kybernetika, Tome 39 (2003) no. 1, pp. 99-118. http://geodesic.mathdoc.fr/item/KYB_2003_39_1_a6/
[1] Artstein Z., Wets R. J.-B.: Stability results for stochastic programs and sensors, allowing for discontinuous objective functions. SIAM J. Optim. 4 (1994), 537–550 | DOI | MR | Zbl
[2] Bank B., Guddat J., Klatte D., Kummer, B., Tammer K.: Non-Linear Parametric Optimization. Akademie Verlag, Berlin 1982 | Zbl
[3] Billingsley P.: Convergence of Probability Measures. Wiley, New York 1968 | MR | Zbl
[4] Billingsley P.: Probability and Measure. Wiley, New York 1979 | MR | Zbl
[5] Devroye L., Györfi L.: Nonparametric Density Estimation. The L$_1$-View. Wiley, 1985 | MR | Zbl
[6] Dupačová J., Wets R. J.-B.: Asymptotic behavior of statistical estimators and of optimal solutions of stochastic problems. Ann. Statist. 16 (1988), 1517–1549 | DOI | MR
[7] Embrechts P., Klüppelberg, C., Mikosch T.: Modelling Extremal Events. Springer–Verlag, Berlin 1997 | MR | Zbl
[8] Györfi L., Härdle W., Sarda, P., Vieu P.: Nonparametric Curve Estimation from Time Series (Lecture Notes in Statistics 60). Springer–Verlag, Berlin 1989 | MR
[9] Kall P.: On approximations and stability in stochastic programming. In: Parametric Programming and Related Topics (J. Guddat, H. Th. Jongen, B. Kummer, and F. Nožička, eds.), Akademie Verlag, Berlin 1987, pp. 86–103 | MR | Zbl
[10] Kaniovski Y. M., King A. J., Wets R. J.-B.: Probabilistic bounds (via large deviations) for the solution of stochastic programming problems. Ann. Oper. Res. 56 (1995), 189–208 | DOI | MR
[11] Kaňková V.: A note on estimates in stochastic programming. J. Comput. Appl. Math. 56 (1994), 97–112 | DOI | MR
[12] Kaňková V., Lachout P.: Convergence rate of empirical estimates in stochastic programming. Informatica 3 (1992), 497–523 | MR | Zbl
[13] King A. J., Wets R. J.-B.: Epi-consistency of convex stochastic programs. Stochastics and Stochastics Reports 34(1991),83–92 | MR | Zbl
[14] Korf L. A., Wets R. J.-B.: Random lsc functions: an ergodic theorem. Math. Oper. Research 26 (2001), 421–445 | DOI | MR | Zbl
[15] Lachout P., Vogel S.: On continuous convergence and epi-convergence of random functions. Part I: Theory and relations. Kybernetika 39 (2003), 1, 75–98 | MR
[16] Langen H.-J.: Convergence of dynamic programming models. Math. Oper. Res. 6 (1981), 493–512 | DOI | MR | Zbl
[17] Liebscher E.: Strong convergence of sums of $\alpha $-mixing random variables with applications to density estimations. Stoch. Process. Appl. 65 (1996), 69–80 | DOI | MR
[18] Lucchetti R., Wets R. J.-B.: Convergence of minima of integral functionals, with applications to optimal control and stochastic optimization. Statist. Decisions 11 (1993), 69–84 | MR | Zbl
[19] Pflug G. Ch., Ruszczyňski, A., Schultz R.: On the Glivenko–Cantelli problem in stochastic programming: Linear recourse and extensions. Math. Oper. Res. 23 (1998), 204–220 | DOI | MR | Zbl
[20] Rachev S. T.: The Monge–Kantorovich mass transference problem and its stochastic applications. Theory Probab. Appl. 29 (1984), 647–676 | MR
[21] Robinson S. M.: Local epi-continuity and local optimization. Math. Programming 37 (1987), 208–222 | DOI | MR | Zbl
[22] Robinson S. M., Wets R. J.-B.: Stability in two-stage stochastic programming. SIAM J. Control Optim. 25 (1987), 1409–1416 | DOI | MR | Zbl
[23] Römisch W., Schultz R.: Stability of solutions for stochastic programs with complete recourse. Math. Oper. Res. 18 (1993), 590–609 | DOI | MR | Zbl
[24] Silverman B. W.: Density Estimation for Statistics and Data Analysis. Chapman and Hall, London 1986 | MR | Zbl
[25] Vogel S.: Stochastische Stabilitätskonzepte. Habilitation, Ilmenau Technical University, 1991
[26] Vogel S.: On stability in multiobjective programming – A stochastic approach. Math. Programming 56 (1992), 91–119 | DOI | MR | Zbl
[27] Vogel S.: A stochastic approach to stability in stochastic programming. J. Comput. Appl. Mathematics, Series Appl. Analysis and Stochastics 56 (1994), 65–96 | MR | Zbl
[28] Vogel S.: On stability in stochastic programming – Sufficient conditions for continuous convergence and epi-convergence. Preprint of Ilmenau Technical University, 1994 | MR
[29] Wang J.: Continuity of feasible solution sets of probabilistic constrained programs. J. Optim. Theory Appl. 63 (1989), 79–89 | DOI | MR
[30] Wets R. J.-B.: Stochastic programming. In: Handbooks in Operations Research and Management Science, Vol. 1, Optimization (G. L. Nemhauser, A. H. G. Rinnooy Kan, and M. J. Todd, eds.), North Holland, Amsterdam 1989, pp. 573–629 | MR | Zbl
[31] Zervos M.: On the epiconvergence of stochastic optimization problems. Math. Oper. Res. 24 (1999), 2, 495–508 | DOI | MR | Zbl