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On the Glivenko-Cantelli Problem in Stochastic Programming: Mixed-Integer Linear Recourse

Please always quote using this URN: urn:nbn:de:0297-zib-2739
  • 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.

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Metadaten
Author:Georg Ch. Pflug, Andrzej Ruszczynski, Rüdiger Schultz
Document Type:ZIB-Report
Date of first Publication:1997/01/29
Series (Serial Number):ZIB-Report (SC-97-04)
ZIB-Reportnumber:SC-97-04
Published in:Appeared in: Mathematical Methods of Operations Research 47 (1998) 39-49
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