On the glivenko-cantelli problem in stochastic programming: Mixed-integer linear recourse

Georg Ch Pflug, Andrzej Ruszczyński, Rüdiger Schultz

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

Abstract

Expected recourse functions in linear two-stage stochastic programs with mixed-integer second stage are approximated by estimating the underlying probability distribution via empirical measures. Under mild conditions, almost sure uniform convergence of the empirical means to the original expected recourse function is established.

Original languageEnglish (US)
Pages (from-to)39-49
Number of pages11
JournalMathematical Methods of Operations Research
Volume47
Issue number1
DOIs
StatePublished - Jan 1 1998

All Science Journal Classification (ASJC) codes

  • Software
  • Mathematics(all)
  • Management Science and Operations Research

Keywords

  • Empirical Measures
  • Stochastic Programming
  • Uniform Convergence
  • Value Functions of Mixed-Integer Linear Programs

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