|edoc-Server der Humboldt-Universität zu Berlin|
Adib Bagh, University of California, Davis|
Michael Casey, University of Puget Sound, Tacoma
|Title:||An Ergodic Theorem for Random Lagrangians with an Application to Stochastic Programming|
|Date of Acceptance:||21.07.2003|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10059143)|
|Keywords (eng):||stochastic programming, duality, saddle point, ergodic theory, lagrangian, epi/hyo-convergence|
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
|print on demand: If you click on this icon you can order a print copy of this publication.|
|Diese Seite taggen: These icons lead to social bookmarking systems where you can create and manage personal bookmarks and discover bookmakrs of other users.|
|We prove an ergodic theorem showing the almost sure epi/hypo-convergence of a sequence of random lagrangians to a limit lagrangian where the random lagrangians are generated by stationary sampling of a probability measure. We apply this theorem to stochastic programming and demonstrate that the outer set-limit of the sequence of the set of saddle points from the sampled problems is a subset of the set of saddle points of the true problem.|
These data concerning access statistics for individual documents
have been compiled using the webserver log files aggregated by AWSTATS.
They refer to a monthly access count to the full text documents as well as to the entry page.
As for format versions of a document which consist of multiple files (such as HTML) the highest monthly access number to one of the files (chapters) is shown respectivly.
To see the detailled access numbers please move the mouse pointer over the single bars of the digaram.
Gesamtzahl der Zugriffe seit Jul 2011: