Roger J.-B. Wets, University of California, Davis
(SPEPS)
Institute for Operations Research and the Management Sciences (Linthicum, Md.)
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| edoc-Server der Humboldt-Universität zu Berlin |
| Author(s): |
Lisa A. Korf, University of Washington, Seattle Roger J.-B. Wets, University of California, Davis | Title: | Random lsc functions – An ergodic theorem |
| Date of Acceptance: | 07.02.2000 |
| Submission Date: | 04.02.2000 |
| Series Title: |
Stochastic Programming E-Print Series (SPEPS) |
| Editors: | Julie L. Higle; Werner Römisch; Surrajeet Sen |
| Keywords (eng): | epi-convergence, stochastic programming, stochastic optimization, Stationary processes, ergodic theorem, Kolmogorov's extension theorem, Bayesian decision theory, composite materials, random lower semicontinuous functions, random samples |
| Appeared in: |
Mathematics of Operations Research 2 (Vol. 26, 2001)
Institute for Operations Research and the Management Sciences (Linthicum, Md.) |
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To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.
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Endnote Bibtex |
| Abstract (eng): | ||||||||||||||||||||||||||||||||||||||||
| An ergodic theorem for random lsc functions is obtained by relying on a (novel) 'scalarization' of such functions. In the process, Kolmogorov's extension theorem for randon lsc functions is established. Applications to statistical estimation problems, composite materials and stochastic optimization problems are briefly noted. | ||||||||||||||||||||||||||||||||||||||||
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