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SPEPS Preprint

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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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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