| Article ID: | iaor19992653 |
| Country: | Germany |
| Volume: | 47 |
| Issue: | 1 |
| Start Page Number: | 39 |
| End Page Number: | 49 |
| Publication Date: | Jan 1998 |
| Journal: | Mathematical Methods of Operations Research (Heidelberg) |
| Authors: | Schultz R., Pflug G. Ch., Ruszczyski A. |
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.