An Ergodic Theorem for Random Lagrangians with an Application to Stochastic Programming
dc.contributor.author | Bagh, Adib | |
dc.contributor.author | Casey, Michael | |
dc.contributor.editor | Higle, Julie L. | |
dc.contributor.editor | Römisch, Werner | |
dc.contributor.editor | Sen, Surrajeet | |
dc.date.accessioned | 2017-06-16T19:53:48Z | |
dc.date.available | 2017-06-16T19:53:48Z | |
dc.date.created | 2006-03-01 | |
dc.date.issued | 2003-07-21 | |
dc.date.submitted | 2003-07-20 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/8951 | |
dc.description.abstract | 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. | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | stochastic programming | eng |
dc.subject | duality | eng |
dc.subject | saddle point | eng |
dc.subject | ergodic theory | eng |
dc.subject | lagrangian | eng |
dc.subject | epi/hyo-convergence | eng |
dc.subject.ddc | 510 Mathematik | |
dc.title | An Ergodic Theorem for Random Lagrangians with an Application to Stochastic Programming | |
dc.type | book | |
dc.identifier.urn | urn:nbn:de:kobv:11-10059143 | |
dc.identifier.doi | http://dx.doi.org/10.18452/8299 | |
local.edoc.container-title | Stochastic Programming E-Print Series | |
local.edoc.pages | 19 | |
local.edoc.type-name | Buch | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
local.edoc.container-volume | 2003 | |
local.edoc.container-issue | 17 | |
local.edoc.container-erstkatid | 2936317-2 |