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2003-07-21Buch DOI: 10.18452/8299
An Ergodic Theorem for Random Lagrangians with an Application to Stochastic Programming
dc.contributor.authorBagh, Adib
dc.contributor.authorCasey, Michael
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:53:48Z
dc.date.available2017-06-16T19:53:48Z
dc.date.created2006-03-01
dc.date.issued2003-07-21
dc.date.submitted2003-07-20
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8951
dc.description.abstractWe 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.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectstochastic programmingeng
dc.subjectdualityeng
dc.subjectsaddle pointeng
dc.subjectergodic theoryeng
dc.subjectlagrangianeng
dc.subjectepi/hyo-convergenceeng
dc.subject.ddc510 Mathematik
dc.titleAn Ergodic Theorem for Random Lagrangians with an Application to Stochastic Programming
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10059143
dc.identifier.doihttp://dx.doi.org/10.18452/8299
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages19
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2003
local.edoc.container-issue17
local.edoc.container-erstkatid2936317-2

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