On the epiconvergence of stochastic optimization problems

• 成果类型: Article
• 署名作者: Zervos, M
• 署名单位: Newcastle University - UK
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.24.2.495
• 发表日期: 1999
• 页码: 495-508
• 关键词: convergence

摘要

The problem of strong consistency of sequences of optimal solutions to stochastic optimization problems is considered. This problem is related to a large number of applications including Bayesian decision problems and Monte Carlo simulations, as well as a number of statistical methodologies such as maximum likelihood estimation. The theory of epiconvergence being a framework within which such results can be established, the epiconvergence of the performance criteria of a sequence of stochastic optimization problems is proved under simple weak assumptions.