2003-07-21Buch DOI: 10.18452/8299
An Ergodic Theorem for Random Lagrangians with an Application to Stochastic Programming
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.
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Is Part Of Series: Stochastic Programming E-Print Series - 17, SPEPS