Article ID: | iaor2004774 |
Country: | United States |
Volume: | 23 |
Issue: | 1 |
Start Page Number: | 204 |
End Page Number: | 220 |
Publication Date: | Feb 1998 |
Journal: | Mathematics of Operations Research |
Authors: | Schultz R., Pflug G.C., Ruszczynski A. |
Integrals of optimal values of random optimization problems depending on a finite dimensional parameter are approximated by using empirical distributions instead of the original measure. Under fairly broad conditions, it is proved that uniform convergence of empirical approximations of the right hand sides of the constraints implies uniform convergence of the optimal values in the linear and convex case.