On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse and Extensions

G.C. Pflug, Andrzej Ruszczynski () and R. Schultz

Working Papers from International Institute for Applied Systems Analysis

Abstract: Integrals of optimal values of random optimization problems depending on a finite dimensional parameter are approximated by using empirical distributions instead of the original measure. Under fairly broad conditions, it is proved that uniform convergence of empirical approximations of the right hand sides of the constraints implies uniform convergence of the optimal values in the linear and convex case.

Date: 1996-02
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