Stochastic programs and statistical data

Stochastic programs and statistical data

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Article ID: iaor19993152
Country: Netherlands
Volume: 85
Issue: 1
Start Page Number: 59
End Page Number: 78
Publication Date: Mar 1999
Journal: Annals of Operations Research
Authors:
Abstract:

Using statistical data instead of true underlying distributions in a stochastic optimization problem leads to an approximation error. We discuss how bounds for this error can be derived from results on uniformity in the law of large numbers.

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