On the Glivenko-Cantelli problem in stochastic programming: Mixed-integer linear recourse

Georg Pflug (), Andrzej Ruszczynski () and Rüdiger Schultz ()

Mathematical Methods of Operations Research, 1998, vol. 47, issue 1, 39-49

Abstract: Expected recourse functions in linear two-stage stochastic programs with mixed-integer second stage are approximated by estimating the underlying probability distribution via empirical measures. Under mild conditions, almost sure uniform convergence of the empirical means to the original expected recourse function is established. Copyright Physica-Verlag 1998

Keywords: Stochastic Programming; Empirical Measures; Uniform Convergence; Value Functions of Mixed-Integer Linear Programs (search for similar items in EconPapers)
Date: 1998
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DOI: 10.1007/BF01193835

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