Asymptotic stochastic programs

• 成果类型: Article
• 署名作者: Pflug, GC
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.20.4.769
• 发表日期: 1995
• 页码: 769-789
• 关键词: measurable multifunctions; statistical estimators; CONVERGENCE

摘要

Consider a stochastic program with unique solution. By the notion of epi-convergence 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.