Asymptotic stochastic programs

Asymptotic stochastic programs

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Article ID: iaor20041838
Country: United States
Volume: 20
Issue: 4
Start Page Number: 769
End Page Number: 789
Publication Date: Nov 1995
Journal: Mathematics of Operations Research
Authors:
Abstract:

Consider a stochastic program with unique solution. By the notion of epiconvergence in distribution in local coordinates, we define the asymptotic stochastic program associated to it. Stochastic programs may be classified according to the type of the pertaining asymptotic program. In particular, three such types are studied in detail: the normal shift program, the Wiener-type program and the Poisson-hyperplane program. Conditions for the convergence to each of the three types are given.

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